st: (T-)GARCH and Adj. R-squared

[Adrian Stork <storkadrian@googlemail.com>]

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
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