Hello mates... I am in need of your help
I am trying to estimate VaR for some stocks for an assignment and i do not Know how am i programming the models. For example,
the garch(1,1) with gaussian distribution is like this:
"equation eq.arch(1,1,m=200,h, c=0.001)"
what is the equivalent for a tgarch(1,1) / parch(1,1,1)...??????
TGARCH - PARCH equation estimation
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Re: TGARCH - PARCH equation estimation
If you look up ARCH in the Equation section of Chapter 1 of the Object Reference, you'll see all of the options listed.
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