# GJR-GARCH Model In R

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

• library(sos); ???GJR suggests that the rugarch package can fit this model. May 10, 2012 at 13:28
• Please note that, according to our faq, such questions are off-topic and should be directed to CrossValidated. May 16, 2012 at 14:33
• @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. May 16, 2012 at 16:48
• @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. May 16, 2012 at 17:26
• @Tal OK. Got it. May 16, 2012 at 18:00

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.

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

CRAN has a few: