How to estimate NGARCH (1.1) ?

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sid85
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Joined: Sun Jun 14, 2009 7:43 am

How to estimate NGARCH (1.1) ?

Postby sid85 » Sat Jan 29, 2011 9:41 am

Hello,
I would like to estimate NGARCH (1.1) model, but I don't know how to proceede:? can anyone help me ?

The equations :
Rt=r+(landa*sigma_t) - (0.5*sigma_t²) + eps
sigmat²=apha0 + alpha1*[eps_t-1-landa*(sigma_t-1)^0.5]² + (beta*sigma_t-1)

Thanks in advance

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