# EGARCH formulation

I am a bit confused about the formulation of the EGARCH(1,1) model.
First, we have the error term: $\epsilon_t=\sigma_t*\zeta_t$, where $\zeta_t$ is white noise.

Now the EGARCH(1,1) should be:
$$log(\sigma_t^2)=w+\alpha_1*log(\sigma_{(t-1)}^2)+g(\zeta_t)$$ but instead I always see $g(\epsilon_t)$.
does anyone know why?

Thank you

• If you use latex then it works better if you add the  signs ;) – Richard Jun 8 '15 at 6:52
• Yeh thanks. any idea about my question? – user3384794 Jun 8 '15 at 8:58
• Good point, I will answer – Richard Jun 8 '15 at 9:02
• You need a $\log$ on the lhs of the equation. – Richard Jun 8 '15 at 9:03
• Yes of course, I must have missed it out – user3384794 Jun 8 '15 at 9:25

Just a quick fix. Looking at the wikipedia entry of EGARCH: $g(\zeta_t)$ (the unit-scale random variable) seems correct - as you say.
• Yes but then everybody writes $g(\epsilon_t)$, not sure why – user3384794 Jun 8 '15 at 9:26