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- Sat Mar 27, 2021 9:57 am
- Forum: Estimation
- Topic: GJR-GARCH-M Estimation for Stock Market Volatility
- Replies: 0
- Views: 7695
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 ...