Re: [R] About AR（1）-GJR-GARCH(1,1) MODEL

Sorry that X in the first equation should be Ɛ -- View this message in context: http://r.789695.n4.nabble.com/About-AR-1-GJR-GARCH-1-1-MODEL-tp3706508p3706512.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing

[R] About AR（1）-GJR-GARCH(1,1) MODEL

sorry to bother all, I am recently doing a topic about spillover effect between two markets. And I want to use AR(1)-GJR-GARCH(1,1)-M Model. I find that rgarch package has functions for univariate GARCH model, including GJR. My GJR model is http://r.789695.n4.nabble.com/file/n3706508/formula.jpg