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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 11:05:21 -0400

Beatrice, 
    The threshold GARCH in Stata can be found in Jean-Michel Zakoian's article,
entitled Threshold heteroskedastic models (1994), in the Journal of Economic
Dynamics and Control 18, 931-955.  In that article, he specifies his
model as based on the conditional standard deviation rather than the conditional
variance.   The model is designed to capture the asymmetric character of the 
volatility.
      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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