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I want to generate an EGARCH process. My problem is that I do not see how to create new processes beyond those available.

The process itself is :

$$\epsilon(t) = \sigma(t) \eta(t)$$

$$\log(\sigma(t)^2 ) = w + b\log(\sigma(t-1)^2) + c\eta(t-1) + d \lvert\eta(t-1)\rvert$$

Notice that I want to use RandomFunction to generate the simulated values.

Then I'd like to estimate it using the EstimatedProcess to estimate the parameters. I want to experiment with false models..

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I forgot to say that "eta(t)" are iid from N(0,1) –  user6952 Apr 16 '13 at 20:09
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look here verbeia.com/mathematica/mma/gen_timeseries.nb –  PlatoManiac Apr 16 '13 at 23:13
    
To be fair, that notebook on Verbeia.com is very old - probably version 4 vintage. @PlatoManiac - how come you remember what is on my web site better than I do? –  Verbeia Apr 17 '13 at 6:36
    
@Verbeia Not my ordinary neural net but all credit goes to proper keyword search in Google! However if you change AppendRows[a,b] with Join[a,b,2] and ZeorMatrix using ConstantArray you will be left with properly using the new version 9 ARMAProcess to replace your ARMAList. Then we can have a nice post here from you. Looking forward to it! –  PlatoManiac Apr 17 '13 at 7:19
    
@PlatoManiac I'll try to get to it tonight. –  Verbeia Apr 17 '13 at 8:02
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1 Answer

From PlatoManiac's comments:

You could try Verbeia's notebook, and replace AppendRows[a,b] with Join[a,b,2] and ZeroMatrix using ConstantArray you can use the new version 9 ARMAProcess to replace the ARMAList in the notebook.

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