simulation of PowerGARCH,Threshold GARCH,and GJR GARCH
Doing a web search on R CRAN GJR GARCH brought up the rugarch package. The models you mentioned are discussed in the documentation to that package https://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
On Mon, Mar 25, 2019 at 2:06 PM Amon kiregu <amonkiregu at gmail.com> wrote:
what is the r code for simulating PowerGARCH,Threshold GARCH,and GJR GARCH
in order to capture heteroscedasticity,volatility clustering,etc,,so that i
can have simulation of mean part and simulation on innovation part.
thanks
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