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Hi guys, I’m struggling with finding a way to compare my parameter estimates when I apply an asymmetric GARCH (T-GARCH). I have a serie of stock returns and have established that there are volatility asymmetries present. I have also composed several stock portfolios based on company specifics. When ...

Hi all, I'm struggling a bit with how to estimate a specific GARCH model. Does anyone know if it is possible to add an additional constructed term to the conditional variance equation with TGARCH or GJR GARCH and if so what does the code look like in that case? Thankfull for any input, Best regards ...