Hi,
I wanted to apply your GJR-GARCH(1,1) model with dummy variable to my study so I want to etimate the following model:
Mean equation:
r(t)=a+b*r(t-1)+epsilon(t) Variance equation:
sigma(t)²= c0 + c1*epsilon(t-1)² + c2*epsilon(t-1)²*I(t-1) + c3*epsilon(t-1)²*I(t-1)*dummy + c4*dummy + c5*sigma(t-1)²
I will be very grateful if you can help me to code this model in stata (because if I put this part of equation epsilon(t-1)²*I(t-1)*dummy in the variance specification of GJR-GARCH model as exogenous variable I don't think that is the right procedure).
Thank you
Best regards,
Emna
I wanted to apply your GJR-GARCH(1,1) model with dummy variable to my study so I want to etimate the following model:
Mean equation:
r(t)=a+b*r(t-1)+epsilon(t) Variance equation:
sigma(t)²= c0 + c1*epsilon(t-1)² + c2*epsilon(t-1)²*I(t-1) + c3*epsilon(t-1)²*I(t-1)*dummy + c4*dummy + c5*sigma(t-1)²
I will be very grateful if you can help me to code this model in stata (because if I put this part of equation epsilon(t-1)²*I(t-1)*dummy in the variance specification of GJR-GARCH model as exogenous variable I don't think that is the right procedure).
Thank you
Best regards,
Emna
