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garch
2011 Nov 27
0
Need Help with my Code for complex GARCH (GJR)
...for the GJR-term.
I need some help with three problems:
1.) implementation of the GJR-term in the variance equation
2.) compute robust covariance matrix (Bollerslev/Wooldbridge,1992) for
robust standard errors
3.) extract the residuals amd volatility of my estimation
First of all my GARCH-Code:
garch2<-function(par,x,Di,Mi,Do,Fr,y,z,d){
x<<-ts(x)
y<<-ts(y)
z<<-ts(z)
Di <<-ts(Di)
Mi<<-ts(Mi)
Do<<-ts(Do)
Fr<<-ts(Fr)
n<-length(x)
a <-par[1]
di <- par[2]
mi <- par[3]
do <- par[4]
fr &...