# 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

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

### Have a Specific Question?

Get a real answer from a real person

### Need Support?

Get help from our friendly experts.

### REQUEST A FREE QUOTE

Thank you for your interest in the GAUSS family of products.