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I'm trying to use the garchFit function described here in order to define a GJR-GARCH model to estimate volatility and then forecast VaR.

I tried using ugarchspec to estimate the model but it didn't work, so I was wondering if it was possible to estimate it using the garchFit function I linked

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The ugarchspec() function is part of the rugarch-package which works with the rugarch set of functions. rugrach does support GJR-GARCH. The fGarch-package works differently, you can call garchFit() directly. It seems to me that fGarch does not support any other GARCH specification than regular GARCH or APARCH, as suggested by this error message:

> garchFit(~ gjrgarch(1,1), data = x.vec, trace = FALSE)
Error in .garchInitSeries(formula.mean = formula.mean, formula.var = formula.var,  : 
  formula.var must be one of: garch, aparch

This question and the overview given by library(sos); ???gjr suggest that the authors of fGarch mention GJR-GARCH but didn't implement it (yet).

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