Beatrice,
That looks like the threshold GARCH, which is very similar to the GJR Garch.
Regards,
Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
NSF grant:
http://www.colorado.edu/ibs/es/nuclear_disaster_risk/principal_investigators.html
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Beatrice Crozza <[email protected]>
Date: Wednesday, May 20, 2009 9:06 am
Subject: st: GJR-GARCH
To: [email protected]
> 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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