Good evening to all,
I am a new member of the forum.
For my first post, I am asking help but I am willing to provide any if I am able to.
I am trying to use EViews 7 for 2 models:
1- GJR GARCH with a normal distribution of the e
2- GJR GARCH with a t-distribution of the e
EViews only provides a TGARCH: very similar but still different.
I remember somewhere (forgot where) a while ago, a prg using a GJR with normal e (model 1).
I tried Internet, but I failed.
Please, anyone can help me with these 2 models?
Thank you in advance,