garchGJRFit#

Purpose#

Estimates asymmetric GJR-GARCH model.

Library#

tsmt

Format#

gOut = garchGJRFit(y, p [, q, gctl]);

gOut = garchGJRFit(dataset, formula, p [, q, gctl]);

Parameters:

y (Matrix) – dependent variables.
x (Matrix) – independent variables.
dataset (string) – name of data set or null string.
formula (string) – formula string of the model. E.g. "y ~ X1 + X2" ‘y’ is the name of dependent variable, ‘X1’ and ‘X2’ are names of independent variables; E.g. "y ~ ." , ‘.’ means including all variables except dependent variable ‘y’;
p (scalar) – order of the GARCH parameters.
q (scalar) – Optional input. order of the ARCH parameters.
gctl – Optional input. garchControl structure.

Returns:

gOut (struct) – garchEstimation structure containing the following members:

Example#

new;
cls,;
library tsmt;

y = loadd( getGAUSSHome("pkgs/tsmt/examples/gjrgarch_data.gdat"));

// GARCH control structure
struct garchControl gctl;
gctl = garchControlCreate;

// Set pointer to function to
// control optimization settings
gctl.sqpsolvemtControlproc = &prc;

// Set covariance type to be
// Quasi-Maximum Likelihood
gctl.covtype = 2;

// Control sqpSolveMT optimization
proc prc(struct sqpSolveMTControl c0);
    c0.printiters = 10;
    retp(c0);
endp;

// GARCH order
p = 1;

// ARCH order
q = 1;

// Estimate model
struct garchEstimation gOut;
gOut = garchgjrFit(y, p, q, gCtl);

This prints the following output:

================================================================================
Model:               GJR-GARCH(1,1)          Dependent variable:               Y
Time Span:              1980-01-20:          Valid cases:                   1000
                        1982-10-15
================================================================================
                             Coefficient            Upper CI            Lower CI

        beta0[1,1]               0.01089             0.00323             0.01855
        garch[1,1]               0.11990            -0.15034             0.39015
         arch[1,1]               0.10397             0.01426             0.19367
          tau[1,1]               0.21660             0.07062             0.36259
        omega[1,1]               0.01100             0.00694             0.01506
================================================================================

              AIC:                                                  1316.65106
              LRS:                                                  1306.65106

Source#

tsgarch.src