Variable GARCH omega
Click here to see this page in full context
Variable GARCH omega
Units:
-
Mode:
Input Only
Multi-band:
False
Default Value:
0
Validation Rule:
Any Value
Key Property:
No
Description:
Long-run weighted variance in GARCH(1,1)
Variable
GARCH ω is the long-run weighted variance for the GARCH(1,1) model.