Add option to PARCH
Posted: Tue Mar 04, 2014 12:25 pm
hi,
I have a suggestion, when I use the PARCH model in the drop down menu I loss the threshod order, this option can help to estimate original TGARCH Zakoian, 1994 (fix power parameter=1) or GJR-GARCH Glosten et al. 1993 (fix power parameter=2), you can leave this option "threshod order" with PARCH model. it is very useful.
or built original TGARCH and GJR-GARCH separately.
I have a suggestion, when I use the PARCH model in the drop down menu I loss the threshod order, this option can help to estimate original TGARCH Zakoian, 1994 (fix power parameter=1) or GJR-GARCH Glosten et al. 1993 (fix power parameter=2), you can leave this option "threshod order" with PARCH model. it is very useful.
or built original TGARCH and GJR-GARCH separately.