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Beatrice said
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?
There are full references to the methodology and capabilities,
including the relevant Glosten et al. paper, in [ts] arch.
Kit Baum | Boston College Economics & 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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