Formula used for EGARCH in "rugarch" package

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Formula used for EGARCH in "rugarch" package

Samit Paul
Dear R users,

I am using "rugarch" package while fitting ARMA(1,1) - EGARCH (1,1) to a
dataset. The coefficient of leverage ("gamma") is coming as positive ,
while other softwares (say, Eviews, SPSS) is giving the same as negative.
The absolute value of the coefficient is almost same. It seems, that the
formula built in R for EGARCH in "rugarch" package, perhaps depicting the
leverage effect in different sign.

Could you please help me to get the formula used for EGARCH in "ruagrch"
package?

Thanks in advance,

Samit Paul

        [[alternative HTML version deleted]]

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Re: Formula used for EGARCH in "rugarch" package

Michael Weylandt
Take a look at Section 2.2.3 of the package vignette [1, 2].

Michael

[1] https://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
[2] https://bitbucket.org/alexiosg/rugarch/src/1bf0f673286b22124fe3a55dfd79d94b3169fb6b/vignettes/rugarch.tex?at=master&fileviewer=file-view-default#rugarch.tex-226

On Mon, Jan 4, 2016 at 4:31 AM, Samit Paul <[hidden email]> wrote:

> Dear R users,
>
> I am using "rugarch" package while fitting ARMA(1,1) - EGARCH (1,1) to a
> dataset. The coefficient of leverage ("gamma") is coming as positive ,
> while other softwares (say, Eviews, SPSS) is giving the same as negative.
> The absolute value of the coefficient is almost same. It seems, that the
> formula built in R for EGARCH in "rugarch" package, perhaps depicting the
> leverage effect in different sign.
>
> Could you please help me to get the formula used for EGARCH in "ruagrch"
> package?
>
> Thanks in advance,
>
> Samit Paul
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.

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Re: Formula used for EGARCH in "rugarch" package

Samit Paul
Thanks a lot, Michael, Cheers!!

Samit

On Mon, Jan 4, 2016 at 8:26 PM, Michael Weylandt <[hidden email]
> wrote:

> Take a look at Section 2.2.3 of the package vignette [1, 2].
>
> Michael
>
> [1]
> https://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
> [2]
> https://bitbucket.org/alexiosg/rugarch/src/1bf0f673286b22124fe3a55dfd79d94b3169fb6b/vignettes/rugarch.tex?at=master&fileviewer=file-view-default#rugarch.tex-226
>
> On Mon, Jan 4, 2016 at 4:31 AM, Samit Paul <[hidden email]> wrote:
> > Dear R users,
> >
> > I am using "rugarch" package while fitting ARMA(1,1) - EGARCH (1,1) to a
> > dataset. The coefficient of leverage ("gamma") is coming as positive ,
> > while other softwares (say, Eviews, SPSS) is giving the same as negative.
> > The absolute value of the coefficient is almost same. It seems, that the
> > formula built in R for EGARCH in "rugarch" package, perhaps depicting the
> > leverage effect in different sign.
> >
> > Could you please help me to get the formula used for EGARCH in "ruagrch"
> > package?
> >
> > Thanks in advance,
> >
> > Samit Paul
> >
> >         [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> should go.
>

        [[alternative HTML version deleted]]

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