PsiEGARCH11(mean,volatility,theta,gamma,err_coef,ar_coef, val0,stdev0)

PsiEGARCH11 generates an exponential, generalized first order autoregressive conditional heteroskedasticity time series with mean mean, volatility parameter volatility, parameters theta and gamma, error coefficient err_coef, autoregressive coefficient ar_coef, value at time 0 val0 and initial standard deviation stdev0. 

PsiEGARCH11 permits negative values to appear in the calculation for variance and no limits or bounds are applied to err_coef and ar_coef. 

For more information, see the Analytic Solver Reference Guide downloadable from Analytic Solver by clicking Help -- User Guides -- Analytic Solver Reference Guide.