[R-SIG-Finance] Formula used for EGARCH in "rugarch" package

[Samit Paul]

Thanks a lot, Michael, Cheers!!

Samit

On Mon, Jan 4, 2016 at 8:26 PM, Michael Weylandt <michael.weylandt at gmail.com
> wrote:

> Take a look at Section 2.2.3 of the package vignette [1, 2].
>
> Michael
>
> [1]
> https://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
> [2]
> https://bitbucket.org/alexiosg/rugarch/src/1bf0f673286b22124fe3a55dfd79d94b3169fb6b/vignettes/rugarch.tex?at=master&fileviewer=file-view-default#rugarch.tex-226
>
> On Mon, Jan 4, 2016 at 4:31 AM, Samit Paul <samitpaulin at gmail.com> wrote:
> > Dear R users,
> >
> > I am using "rugarch" package while fitting ARMA(1,1) - EGARCH (1,1) to a
> > dataset. The coefficient of leverage ("gamma") is coming as positive ,
> > while other softwares (say, Eviews, SPSS) is giving the same as negative.
> > The absolute value of the coefficient is almost same. It seems, that the
> > formula built in R for EGARCH in "rugarch" package, perhaps depicting the
> > leverage effect in different sign.
> >
> > Could you please help me to get the formula used for EGARCH in "ruagrch"
> > package?
> >
> > Thanks in advance,
> >
> > Samit Paul
> >
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> >
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