The Best Financial Time Series And The (G) Arch Model I’ve Ever Gotten
12
Unlike GARCH model, the Zero-Drift GARCH (ZD-GARCH) model by Li, Zhang, Zhu and Ling (2018) 13 lets the drift term
=
0
{\displaystyle ~\omega =0}
in the first order GARCH model. Likewise,
1
=
t
1
{\displaystyle ~\epsilon _{t-1}^{-}=~\epsilon _{t-1}}
if
t
1
0
{\displaystyle ~\epsilon _{t-1}\leq 0}
, and
t
1
=
0
{\displaystyle ~\epsilon _{t-1}^{-}=0}
if
t
1
0
{\displaystyle ~\epsilon _{t-1}0}
. .