Estimate complex GJR-GARCH with exogeneous regressors in mean equation and dummy in variance equation
Hello, i had to estimate the following GJR-GARCH-Model: http://r.789695.n4.nabble.com/file/n3937352/Unbenannt.jpg r = Index-Returns (log) r (US / HS / B) = Index-Returns form foreign Stock Markets I = Dummy-Vaiabel -> Value of one in case of negative return shocks. Value of zero when return innovation is zero or positive. I want to estimte the Model with robust standard errors (Bollerslev and Wooldridge, 1992) Is there a package in R that can do this? The rugarch-package can include exogeneous regressors to mean equation and variance equation. Is it possible to model the mulitplicative dummy variable y(D) in the variance equation? Does somebody know a good source code that i can modify or is there an easy way to modify the rugarch-package source code to estimate the model? Thanks. Greetings -- View this message in context: http://r.789695.n4.nabble.com/Estimate-complex-GJR-GARCH-with-exogeneous-regressors-in-mean-equation-and-dummy-in-variance-equation-tp3937352p3937352.html Sent from the Rmetrics mailing list archive at Nabble.com.