GJR-GARCH(1,1) & TGARCH(1,1)

[ecofin]

hi everybody, I have seen thant there is diference between GJR-GARCH(1,1) and TGARCH(1,1) when I estimate the two models with Mathlab, my question is: EViews estimate GJR-GARCH(1,1) or TGARCH(1,1)?.

Reference: Financial modeling Under Non-Gaussian Distribution, Eric Jondeau, Ser-Huang Poon and Michael Rockinger, Springer 2007, pp 95 and pp 100.

[trubador]

Search is a useful tool: http://forums.eviews.com/viewtopic.php? ... =gjr#p9147

[ecofin]

thanks for your response, So there is not a way to estimate original TGARCH(1,1) in EViews 8.

[trubador]

No, not built-in. But you can always build such customized models via LogL object.

[ecofin]

but i don't know where to start, I'm not an expert on Eviews programming, Can you help me for the code to customized TGARCH(1,1), and thanks for your help and for your reply.

[trubador]

You can start by examining the customized GARCH examples written via LogL object: "C:\Program Files\EViews 8\Example Files\Sample Programs\logl". And you can always search forum for similar examples...

[ecofin]

thanks for your help and for your reply.
just i can estimate the original TARCH model with PARCH model when i fix the power=1 but i loss the threshod order :? normally it should leave this option