GAUSS garchGJRFit Example

Introduction

The following is an example of implementing the garchGJRFit procedure for estimating asymmetric GARCH models.

Estimate the model

This example uses previously simulated data stored in the GAUSS dataset "gjrgarch.dat". The model can be estimated in a single line using the GAUSS formula string syntax

new;
library tsmt;

// Get file name with full path
dataset = getGAUSSHome() $+ "pkgs/tsmt/examples/gjrgarch.dat";

// Estimate the model, using the variable 'y' from 'gjrgarch.dat'
call garchgjrFit(dataset, "y", 1, 1);

Output

The output reads:

Normal Solution

AIC    1316.6511
lrs    1306.6511

            Coefficients     lower cl     upper cl
beta0[1,1]        0.0109       0.0032       0.0186
garch[1,1]        0.1199      -0.1590       0.3988
arch[1,1]         0.1040       0.0062       0.2017
tau[1,1]          0.2166       0.0513       0.3820
omega[1,1]        0.0110       0.0067       0.0153