How to estimate NGARCH (1.1) ?
Posted: 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
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