Looks like a jump GARCH model. Haven't seen anything in R.
Have been considering its implementation for some time based on the Chan
and Maheu (2002) paper
(www.ecn.ulaval.ca/~sgor/cours/ecn66054/articles/ChanMaheu.pdf)
There is some RATS code for this here:
http://www.estima.com/forum/viewtopic.php?f=8&t=1578
Regards,
Alexios
On 23/05/2013 20:08, Christofer Bogaso wrote:
Hello again, I am trying to estimate the parameters of following Garch
model:
r[t] = Mu + K * Sigma[t] + Z[t] * Sigma[t] + sum( on j from 1 to st)Nu[j]
Z[t] ~ N(0, 1)
st ~ Poisson[Lambda]
Nu[j] ~ N(0, v)
Sigma[t] ~ Garch(1,1)
I have the time series for r[t] for 500 days.
Can someone point me if there is any R function to achieve the estimation
of those parameters?
Some research paper on the estimation of same, also be really beneficial.
Thanks for your help.
Thanks and regards,
[[alternative HTML version deleted]]
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