Canarella, Giorgio (contributor); … - 2007
(1993):
(5) dUS,tUSdUS,tUSUS,tUSUSttUSdUS,t e||eIeE 11, )()( −− +−+== sbgaws d
where USw >0, ,0≥d USa ,0≥ USß 0 …≥ and 11 <<− USg . In equation (5) the standard
ARCH and GARCH effects are estimated by the coefficients USa and USß …