My question is what kind of ARMA-GARCH model is the following equation and how to specify it in rugarch R module:

$$r_{t+1}- r_t = \alpha_0 + \alpha_1r_t+\alpha_2V_t+\epsilon_{t+1},$$ $$\epsilon_{t+1} \sim N(0,V_t), \text{and}$$ $$V_t = \beta_0 + \beta_1r_t + \beta_2V_{t-1}+\beta_3 \epsilon_t^2.$$


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.