HI,

When interpreting AR models, the main focus in on the significance of their AR terms. In GARCH, ""γ1γ1 measures the extent to which a volatility shock today feeds through into next period’s volatility and γ1γ1 + δ1δ1 measures the rate at which this effect dies over time." GARCH(1,1) can be written in the form of ARMA (1,1) to show that the persistence is given by the sum of the parameters (proof in p. 110 of Chan (2010) and p.483 in Campbell et al (1996). Also, a2t−1at−12- σ2t−1σt−12 is now the volatility shock."

Kind regards

Thushara

Dear Tendai,

I hope the paper: Jose Angelo Divino, Michael McAleer ,  Modelling the Growth an

d Volatility in Daily International Mass Tourism to Peru,  http://eprints.sim.ucm.es/8696/1/0915.pdf will be helpful.

Best regards

Barbara

Thank you very much