From 5e0c96940fa37f0bb631cf70d4b7d4782d7bccc6 Mon Sep 17 00:00:00 2001 From: Pavel Krotkov Date: Sat, 16 Nov 2024 12:15:36 -0500 Subject: [PATCH] bugfix FIGARCH(1, d, 1) formula in the function description --- arch/univariate/volatility.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/arch/univariate/volatility.py b/arch/univariate/volatility.py index aae4991a5a..1a40a1b320 100644 --- a/arch/univariate/volatility.py +++ b/arch/univariate/volatility.py @@ -2962,7 +2962,7 @@ class FIGARCH(VolatilityProcess, metaclass=AbstractDocStringInheritor): .. math:: - h_t = \omega + [1-\beta L - \phi L (1-L)^d] \epsilon_t^2 + \beta h_{t-1} + h_t = \omega + [1-\beta L - (1-\phi L) (1-L)^d] \epsilon_t^2 + \beta h_{t-1} where ``L`` is the lag operator and ``d`` is the fractional differencing parameter. The model is estimated using the ARCH(:math:`\infty`)