I used the rugarch package of R v.3.2.5 to fit a hybrid ARMA(1,0)+EGARCH(2,1) model to a series of log-returns on an exchange rate.
My question is:
How should I compute the following measures to describe the conditional variance dynamics of the above hybrid model?
Duration of persistence, ARCH and GARCH effects, Leverage effect, Degree of asymmetry, Intensity of negative shocks, Intensity of positive shocks.
Thank you in advance.