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

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  • $\begingroup$ library(sos); ???GJR suggests that the rugarch package can fit this model. $\endgroup$ – Vincent Zoonekynd May 10 '12 at 13:28
  • $\begingroup$ Please note that, according to our faq, such questions are off-topic and should be directed to CrossValidated. $\endgroup$ – Tal Fishman May 16 '12 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. $\endgroup$ – Karol J. Piczak May 16 '12 at 16:48
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    $\begingroup$ @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. $\endgroup$ – Tal Fishman May 16 '12 at 17:26
  • $\begingroup$ @Tal OK. Got it. $\endgroup$ – Karol J. Piczak May 16 '12 at 18:00
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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.

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  • $\begingroup$ rugarch really is fantastic. $\endgroup$ – Jase Dec 10 '12 at 7:38
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CRAN has a few:

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