For my variable $l_t$ I want to use an ARMA(p,q)-GARCH(r,s). So the mean equation follows an ARMA(p,q) and the conditional volatility is modelled by a GARCH(r,s). Is my notation correct?
Asked
Active
Viewed 800 times
1
Stat Tistician
- 2,321
- 5
- 34
- 57
-
The GARCH filter does not depend on information at time $t$. You need to start your counter for $a_{t-i}$ at 1. Please see my answer here. – tchakravarty Feb 14 '15 at 09:14