Documentation

GJR Model

Glosten-Jagannathan-Runkle GARCH model for volatility clustering

If negative shocks contribute more to volatility than positive shocks, then you can model the innovations process using a GJR model and include leverage effects. For details on how to model volatility clustering using a GJR model, see Using gjr Objects.

Using Objects

gjr GJR conditional variance time series model

Functions

Create Model

gjr Create GJR conditional variance model object

Fit Model to Data

estimate Fit conditional variance model to data
infer Infer conditional variances of conditional variance models
print Display parameter estimation results for conditional variance models

Generate Monte Carlo Simulations

simulate Monte Carlo simulation of conditional variance models
filter Filter disturbances through conditional variance model

Generate Minimum Mean Square Error Forecasts

forecast Forecast conditional variances from conditional variance models
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