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st: Re: GJR-GARCH


From   Christopher Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: GJR-GARCH
Date   Wed, 20 May 2009 16:04:40 -0400

<>
Bob said

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.

They are two different estimators. As specified in [ts] arch p. 13, TARCH of Zakoian involves abarch() atarch() sdgarch() options, whereas GJR form of threshold ARCH involves arch() tarch() [garch()] options on the -arch- command.

Kit Baum   |   Boston College Economics and 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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