paths paths of steps returns each, from one seeded stream. GARCH and
GJR run s_t = ω + α·e² + γ·e²·[e < 0] + β·s; EGARCH its log recursion. An
EGARCH with Student-t innovations is refused, as fitGarch refuses it: its
expected variance is infinite past one step.
pathspaths ofstepsreturns each, from one seeded stream. GARCH and GJR run s_t = ω + α·e² + γ·e²·[e < 0] + β·s; EGARCH its log recursion. An EGARCH with Student-t innovations is refused, asfitGarchrefuses it: its expected variance is infinite past one step.