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