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bugfix FIGARCH(1, d, 1) formula in the function description
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pavelkrotkov committed Nov 16, 2024
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2 changes: 1 addition & 1 deletion arch/univariate/volatility.py
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Expand Up @@ -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`)
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