igarch syntax

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Nau2306
Posts: 74
Joined: Thu Nov 17, 2011 11:51 am

igarch syntax

Postby Nau2306 » Wed Aug 01, 2012 12:20 am

What is the syntax for igarch estimation?

I tried
equation eq.arch(1, 1, integrated) ret c

but it is not working. It is estimating a GARCH model.
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trubador
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Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: igarch syntax

Postby trubador » Wed Aug 01, 2012 1:41 am

Your syntax is correct.

It is a GARCH model. The only difference is that the estimated parameters sum up to 1 in IGARCH model.
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