Questions about TGARCH model and EGARCH model

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dizheng
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Joined: Mon Aug 03, 2015 1:28 pm

Questions about TGARCH model and EGARCH model

Postby dizheng » Tue Aug 04, 2015 8:30 am

Excuse me:
Genius. I have a question about garch models.
I don't know how to decide threshold option of TARCH and Asymmetric of EGARCH.
If i want to measure the volatility of stock price. Which number should i type in? And why?
Furthermore, if I type in the threshold or asymmetric options of "2", how do i write that expression? For example, if the TGARCH expression is TGARCH(1,1), how do i know which threshold number of it has?
Thank you very much.

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