Re: [Gretl-devel] garch dialog
On Thu, 4 Dec 2008, Sven Schreiber wrote:
Am 21.11.2008 19:18, Sven Schreiber schrieb:
> Today I've noticed (teaching again...) that in the GARCH dialog window
> it says "ARCH p: .... ARCH q:". I guess the latter should rather be
> "GARCH q", no?
>
-ping-
any opinions, reactions? or has it been silently changed?
Silently changed, but "ARCH p" -> "GARCH p", since the expression
we use for the conditional variance is
h_t = \alpha_0 + \sum_{i=1}^q \alpha_i \epsilon_{t-i}^2 +
\sum_{j=1}^p \beta_j h_{t-j}
and p is therefore the GARCH parameter (as in Bollserlev, Davidson
and MacKinnon, Fiorentini, Calzolari and Panattoni, et al.).
Allin.