I am wanting to run a GJR-Garch model in stata and I am having problems identifying what command I need to put into the system. When using the commands I receive two different ways to do so and I am not sure which one is correct.
arch (var1) (var2), arch(1/1) tarch (1/1)
arch (var1) (var2), arch (1/1) tarch (1/1) garch (1/1)
Do I need the garch command? because the two commands yield different numbers.