hi
>From *uguarchfit()* output; *$sigma* values are same as above formulation:
sigma(t-1)^2= omega1+ alpha1*return(t-1)^2 + gamma1* I(t-1)*return(t-1)^2 +
beta1*sigma(t-1)
Can I use output of $sigma ^2 instead of above formulation ?
spec<-ugarchspec(variance.model = list(model = "gjrGARCH",
garchOrder = c(1,
1), submodel = NULL, external.regressors = NULL, variance.targeting FALSE),
mean.model = list(armaOrder=c(0,0),include.mean = FALSE, archm FALSE, archpow =
1, arfima = FALSE, external.regressors = NULL, archex FALSE), distribution.model
= "norm", start.pars = list(), fixed.pars list())
ugarchfit(spec, data, out.sample = 0, solver = "solnp",
solver.control list(1), fit.control = list(stationarity = 1, fixed.se = 0,
scale=0))
Regards,
Ser
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