Table VIII. Formulas of GARCH-class...

Table VIII.

Formulas of GARCH-class model

GARCH-class model	Formulas
GARCH	$h_{t}^{2} = ω + α u_{t - 1}^{2} + β h_{t - 1}^{2}$
E-GARCH	$\log (h_{t}^{2}) = ω + α [\| \frac{u_{t - 1}}{h_{t - 1}} \| - \sqrt{2 / π}] + β l o g (h_{t - 1}^{2}) + δ \frac{u_{t - 1}}{h_{t - 1}}$
T-GARCH	$h_{t}^{2} = ω + α u_{t - 1}^{2} + β h_{t - 1}^{2} + γ u_{t - 1}^{2} I_{t - 1}$

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