Hi everyone
I'm running a T-GARCH model (i.e. a GJR-GARCH model) and need to
indicate the adjusted R-squared values for the model fit. Stata does
not provide that measure after running the model. Some research papers
indicate it for the T-GARCH model and I'd like to follow that
procedure. Does anyone have some experience with GARCH models and
adjusted R-squares or maybe even has a sample code?
I very much tried to find the right solution but my deadline is
getting closer and closer and I didn't get it right yet.
So I'm thankful for any comments! Let me know if got an idea.
P.S. I know there might be other model fit measures that are more
appropriate for GARCH but unfortunately I need to stick to the method
of previous literature.
Best regards,
Adrian
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/
