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st: GJR-GARCH


From   Beatrice Crozza <beatrice.crozza@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: GJR-GARCH
Date   Wed, 20 May 2009 14:05:38 +0100

Dear all,

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.

Bea
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