What is gjr garch?

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Question: What is gjr garch?

Topics: garch

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The gjr function returns a gjr object specifying the functional form of a GJR(P,Q) model, and stores its parameter values. The Glosten-Jagannathan-Runkle GARCH(GJR-GARCH) model assumes a specific parametric form for this conditional heteroskedasticity. GJR-GARCH offers what vanilla GARCH has to offer, plus the leverage effect. This example will highlight the steps needed to estimate the parameters of a GJR -GARCH(1,1,1) model with a constant mean.

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Answered By:
Ryka

Ryka

Gwalior, India

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