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Re: st: GJR-GARCH


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GJR-GARCH
Date   Wed, 20 May 2009 10:56:36 -0400

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 <beatrice.crozza@gmail.com>
Date: Wednesday, May 20, 2009 9:06 am
Subject: st: GJR-GARCH
To: statalist@hsphsun2.harvard.edu


> 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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