Re: [Gretl-users] EGARCH parameter estimation via "gig" GUI
On Mon, 8 Aug 2011, Oscar Soppelsa wrote:
I was wondering the following: in the Exponential GARCH(1,1) model
there’s a parameter in addition to α, β and γ, and this is θ. gretl uses
the EGARCH(p,q) formulation without θ [θ multiplies the residuals in
g(εt-1)]. If I need to make a forecast on t + n periods in the future, I
would need the θ estimated value: does anyone know how may I get that
value?
Hmm; the parametrisation gig uses is reported in the pdf doc file as
equation 9. I don't quite get what kind of parametrisation for the EGARCH
model you're referring to. Could you be more explicit, please? If you
don't feel like writing the specification you have in mind for the
conditional variance, please provide a reference.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti