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Beatrice Crozza <firstname.lastname@example.org>
Wed, 20 May 2009 14:05:38 +0100
I am trying to perform a GJR model, i.e. a GARCH which takes into account jumps.
I found this function:
arch () tarch() [garch()]
but any example or references.
Is there somebody who could help me? Somebody has ever performed a GJR
model with Stata?
Thank you very much for any help.
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