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Hi Zappa, i solved the GJR-part in a similiar way. I use a gaussian distribution for my errors. I used the one from the sample files. There is also a code for an ar(1)-garch model with t-distribution. Maybe the code can provide some help for writing an ar-garch-model. Regarding the Bollerslev Robust...

Hello, i wrote my own logLikelihood-function for a GARCH-model. I set up my own logLikelihood-function with help from the EViews sample programms. The errors are gaussian distributed. How do I add the GJR-Coefficient (T-GARCH) in my Variance Equation? ll1.append sig2 = omega(1)+alpha(1)*res(-1)^2 +b...

Hello, I am no EVIEWS expert and I need some help with an estimation of a complex GJR-GARCH model with a dummy-variable in the variance equation (See model below). The estimation should use robust standard errors (Bollerslev/Wooldbridge, 1992). I have no problems with the mean equation, but I am not...