Need help with my Code for complex GARCH (GJR-GARCH)
On Sun, 2011-11-27 at 04:43 -0800, Lin23 wrote:
i want to estimate a complex GARCH-model (see below). http://r.789695.n4.nabble.com/file/n4112387/GJR_Garch.png
Is there a reason that the GJR GARCH functionality in the fGarch or rgarch packages doesn't fit your requirements? Don't you think it might be faster to start with the code in one of those packages and extend it, rather than starting from scratch? Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock