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 <[email protected]>
Date: Wednesday, May 20, 2009 9:06 am
Subject: st: GJR-GARCH
To: [email protected]
> 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
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
