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- Wed May 06, 2009 4:27 am
- Forum: Econometric Discussions
- Topic: GARCH(p,q) Model
- Replies: 0
- Views: 2686
GARCH(p,q) Model
How to determine the 'p' and 'q' values of GARCH(p,q) model manually. How to find the coefficients omega, alpha and beta, in the equation of GARCH(1,1) model manually (via calculation). [[Sigma].sub.t.sup.2] = [omega] + [alpha] [R.sub.t - 1.sup.2] + [[beta] [[Sigma].sub.t-1.sup.2] where [R.sub.t] = ...