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Posted: **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.

Posted: **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.

igarch syntax