Question about the GARCH model formula implementation in Python

Installations & Python Packages
1

There is a function to find the likelihood of given GARCH(1,1) model parameters where sigma2 is expressed as the following:

```

for t in range(1, len(returns)):

      sigma2 = gamma * parkinson[0] + alpha * returns[t-1]**2 + beta * parkinson[t]

```

Why isn't the third term parkinson[t-1]?

 

 

2

Hello Ben,



Thank you for your query. We will look into this and get back soon.



Thanks. 

3

Hi Ben, 

Thanks for pointing this out, the notebook has been updated. The correct expression for sigma2 now includes the term parkinson[t-1] instead of the previously incorrect parkinson[t]. 



Best regards!