st: Re: GJR-GARCH

[Christopher Baum <baum@bc.edu>]

<>
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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