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st: re: GJR-GARCH

From   Kit Baum <>
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   |
An Introduction to Stata Programming |
   An Introduction to Modern Econometrics Using Stata  |

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