Hi,All,
I am trying to fit a GJR-GARCH model in R:
r_t = mu + e_t
h_t = alp_0 + alp_1 * e_(t-1)^2 + alp_2 * s_(t-1) * e_(t-1)^2 + beta *
h_(t-1)
where r_t = return (on day t), h_t = conditional volatility on day t,
and s_(t-1) = 1 if e_(t-1) < 0 (zero otherwise).
I have downloaded the packages "tseries" and "fSeries" but can not see
how to fit this model.
Any help would be very much appreciated.
Thanks,
Steven
_________________________________________________________________
享用世界上最大的电子邮件系统― MSN Hotmail。 http://www.hotmail.com
______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
