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woodbridge
2011 Nov 27
0
Need Help with my Code for complex GARCH (GJR)
...le.com/file/n4112396/GJR_Garch.png
W stands for the Day of the Week Dummies. r stands for returns of stock
market indices. I stands 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...