GJR GARCH

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GJR GARCH

Postby fvarga on Mon Jun 28, 2010 4:46 am

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,
:-)
Franck
fvarga
 
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Re: GJR GARCH

Postby jaeger2000 on Sat Jul 24, 2010 12:20 am

-How did you go with this?
-For instructions on how to estimate GJR GARCH using EViews.
See: Brooks - Introductory Econometrics for Finance 2e

From page 406 onwards the section is: "GJR in EViews".

regards,
Ian Gregory, Sydney.
jaeger2000
 
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Re: GJR GARCH

Postby trubador on Mon Jul 26, 2010 12:12 pm

EViews actually estimates the GJR-GARCH model when you select the GARCH/TARCH option and specify a threshold order. Original TARCH model works on conditional standard deviation. However, as you can verify it from the user's guide, EViews' TARCH model uses the same specification as GJR model does. Given that, in order to employ a different error distribution, all you have to do is select from the drop down menu in the ARCH-GARCH models dialog box.
trubador
Did you use forum search?
 
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