TGARCH - PARCH equation estimation
Posted: Wed Jan 02, 2013 5:02 am
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)...??????
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)...??????