Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?

  • $\begingroup$ library(sos); ???GJR suggests that the rugarch package can fit this model. $\endgroup$ May 10, 2012 at 13:28
  • $\begingroup$ Please note that, according to our faq, such questions are off-topic and should be directed to CrossValidated. $\endgroup$ May 16, 2012 at 14:33
  • $\begingroup$ @Tal, I think it's borderline. We have econometrics explicitly stated in the FAQ as OK, so I doubt it's that off. Especially, since we have a number of similar questions with a long history on the site and ARCH modelling is quite common in quant finance. $\endgroup$ May 16, 2012 at 16:48
  • 1
    $\begingroup$ @KarolPiczak except that this question is not asking about how to apply GJR-GARCH, just for some software help, which is explicitly identified in the FAQ as off-topic. To clarify, econometrics questions that ask about a specific finance problem are on-topic, questions purely about the software are off-topic. $\endgroup$ May 16, 2012 at 17:26
  • $\begingroup$ @Tal OK. Got it. $\endgroup$ May 16, 2012 at 18:00

2 Answers 2


You can have a look at rgarch. It's quite versatile. From what I remember, you have to get it explicitly from R-Forge, as it's not available from CRAN.

See the rgarch website for more details.

Last time I checked, usage was something like this:

spec.gjrGARCH = ugarchspec(variance.model=list(model="gjrGARCH", garchOrder=c(1,1)), mean.model=list(armaOrder=c(1,1), include.mean=TRUE), distribution.model="std")
gjrGARCH <- ugarchfit(data, spec=spec.gjrGARCH)

From what I see, it has been recently split into uni- and multivariate packages, so you would need to verify the syntax and install rugarch.

  • $\begingroup$ rugarch really is fantastic. $\endgroup$
    – Jase
    Dec 10, 2012 at 7:38

CRAN has a few:


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.