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st: re: GJR-GARCH


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: GJR-GARCH
Date   Wed, 20 May 2009 10:10:10 -0400

<>

Beatrice said

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?


There are full references to the methodology and capabilities, including the relevant Glosten et al. paper, in [ts] arch.

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



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