I'm currently working with historical index data from Yahoo Finance and would like to plot the GARCH(1,1) volatility of these indexes. I'm working with the Datafeed and Finance Tollboxes in Matlab ...
If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?