garchGJRFit

Purpose

Estimates asymmetric GJR-GARCH model.

Library

tsmt

Format

out1 = garchGJRFit(y, p [, q, c0]);

out1 = garchGJRFit(dataset, formula, p [, q, c0]);

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.

• c0 –

  Optional input. garchControl structure.

  type c0:

  Optional input

  return out1:

  garchEstimation structure containing the following members:

  out1.aic	scalar, Akiake criterion.
  out1.bic	scalar, Bayesian information criterion.
  out1.lrs	scalar, likelihood ratio statistic.
  out1.numObs	scalar, number of observations.
  out1.df	scalar, degrees of freedom.
  out1.par	instance of PV structure containing parameter estimates.
  out1.retcode	scalar, return code: 1: normal convergence. 2: forced exit. 3: function calculation failed. 4: gradient calculation failed. 5: Hessian calculation failed. 6: line search failed. 7: error with constraints. 8: function complex.
  out1.moment	KxK matrix, moment matrix of parameter estimates.
  out1.climits	Kx2 matrix, confidence limits.

  rtype out1:

  struct

Example

new;
cls,;
library tsmt;

y = loadd( getGAUSSHome() $+ "pkgs/tsmt/examples/gjrgarch.dat");

// GARCH control structure
struct garchControl c0;
c0 = garchControlCreate;
c0.cmlmtControlproc = &prc;

// Covariance type
c0.covtype = 2;


// Control cmlmt estimation
proc prc(struct cmlmtControl c0);
    c0.printiters = 10;
    c0.switch = 0;
    c0.algorithm = 1;
retp(c0);
endp;

// GARCH order
p = 1;

// ARCH order
q = 1;

// Estimate model
struct garchEstimation f0;
f0 = garchgjrFit(y, p, q, c0);

Source

tsgarch.src

See also

Functions garchFit(), garchMFit()