bashtage/arch

phi parameter in FIGARCH model

alejandro-cermeno opened this issue · 2 comments

alejandro-cermeno commented

Hello:

What is and how is the phi parameter interpreted in the FIGARCH model equation? Is it correct that omega is the constant in the volatility equation and beta is the lagged conditional variance parameter?

FIGARCH equation:
image

The ARCH package also calls phi to the lag parameter in the equation of the mean when this is AR. Could you suggest to me some alternative name?

Mean AR equation:
image

Thanks for your work and for the answer

bashtage commented

First, the equations and phis two are unrelated. They are just two equations that use phi.

In the FIGARCH the phi measures the sensitivity to the long-memory component. You should probably check the original FIGARCH paper for more details on the parameterization.

bashtage commented

Going to close since no action for the package. Please feel free to continue to post if further clarification is needed.