EGARCH(1,1)
model
{
for (t in 1:T)
      {
        y[t]~dnorm(0,p[t])
                                     }
for (t in 2:T)
      {
        logsigma2[t]<-omega+beta*logsigma2[t-1]+theta*(y[t-1]/sigma[t-1])+alpha*(sqrt((y[t-1]/sigma[t-1])*(y[t-1]/sigma[t-1]))-sqrt(2/3.14159265359))
        sigma[t]<-exp(logsigma2[t]/2)
        p[t]<-1/sigma[t]
        }

logsigma2[1]<-(omega/(1-beta))
sigma[1]<-exp(logsigma2[1]/2)
p[1]<-1/sigma[1]

# piror
omega~dnorm(0,1)
beta~dbeta(8,1)I(0,1)
theta~dnorm(0,1)
alpha~dnorm(0,1)
}

# initial
list(omega=-0.2, beta=0.98, theta=-0.05, alpha=0.15)

# data
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