式子是:ln(σ_t^2)=ω+β ln(σ_(t-1)^2 )+α|u_(t-1)/σ_(t-1) |+γ (u_(t-1)/σ_(t-1))
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[其他] EGARCH模型无条件方差是什么 |
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回帖推荐Chemist_MZ 发表于2楼 查看完整内容 take expectation on both sides:
(note: )
let long term log variance
because E(f(y)) f(E(y)) (if f is not a linear function. in this case f=ln()), therefore we can use an approximation. If you really want a variance not log long term variance you can use approximation, given y is not too large. Usually variance is a small number.
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