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From | Beatrice Crozza <beatrice.crozza@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: GJR-GARCH |
Date | Wed, 20 May 2009 14:05:38 +0100 |
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/
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