ENH: Add NGARCH specification to set of volatility processes
itsNH98 opened this issue · 0 comments
itsNH98 commented
Actually, the "volatility" component of arch includes numerous GARCH specifications, many of them that include the leverage effect. However, it doesn't include the NGARCH of Engle and Ng (1993).
ARCH does include a lot of different models so this addition could seem unnecessary, but it would mostly be for completeness and replication of prior results.
Thanks