Hi,
Could you please help me with EGARCH and GJR?
Is it possible to use EGARCH and GJR in R? I have used below mentioned
code
for GARCH in R, but I never used EGARCH and GJR in R.
Thank you in advance!
daten<-read.table("H://Daten//Zeitreihen//dax_1.csv", sep=";", header=T)
DAX.kurs<-daten
DAX.kurs<-ts(DAX.kurs,names="DAX-Kurs")
DAX.rendite<-diff(DAX.kurs)/DAX.kurs[1:length(DAX.kurs)-1]
g<-garchFit(data=DAX.rendite,formula=~garch(1,1),const.dist="dstd")
g.predict<-predict(g,n.ahead=1)
Best regards,
Andy
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