Add option to PARCH

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ecofin
Posts: 182
Joined: Fri May 10, 2013 11:24 am

Add option to PARCH

Postby ecofin » Tue Mar 04, 2014 12:25 pm

hi,
I have a suggestion, when I use the PARCH model in the drop down menu I loss the threshod order, this option can help to estimate original TGARCH Zakoian, 1994 (fix power parameter=1) or GJR-GARCH Glosten et al. 1993 (fix power parameter=2), you can leave this option "threshod order" with PARCH model. it is very useful.
or built original TGARCH and GJR-GARCH separately.
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APARCH model.pdf
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