Search found 1 match

by JoshF
Sat Mar 27, 2021 9:57 am
Forum: Estimation
Topic: GJR-GARCH-M Estimation for Stock Market Volatility
Replies: 0
Views: 327

GJR-GARCH-M Estimation for Stock Market Volatility

Hi there! I am doing a research project where I am examining the effect that Covid-19 has had on the returns and volatility of the financial markets. I have opted to use a GJR-GARCH-M (1,1) model to properly account for the leverage effect. I have purposely avoided using EGARCH and other asymmetric ...

Go to advanced search