Questions about TGARCH model and EGARCH model
Posted: 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.
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.