GARCH(p,q) Model
Posted: Wed May 06, 2009 4:27 am
How to determine the 'p' and 'q' values of GARCH(p,q) model manually.
How to find the coefficients omega, alpha and beta, in the equation of GARCH(1,1) model manually (via calculation).
[[Sigma].sub.t.sup.2] = [omega] + [alpha] [R.sub.t - 1.sup.2] + [[beta] [[Sigma].sub.t-1.sup.2]
where [R.sub.t] = [[Sigma].sub.t] [[epsilon].sub.t]
How to find the coefficients omega, alpha and beta, in the equation of GARCH(1,1) model manually (via calculation).
[[Sigma].sub.t.sup.2] = [omega] + [alpha] [R.sub.t - 1.sup.2] + [[beta] [[Sigma].sub.t-1.sup.2]
where [R.sub.t] = [[Sigma].sub.t] [[epsilon].sub.t]