Re: [R] how to fit GJR-GARCH model in R

From: Fan Steven <>
Date: Wed 03 May 2006 - 14:47:17 EST


I am trying to fit a GJR-GARCH model in R:

r_t = mu + e_t
h_t = alp_0 + alp_1 * e_(t-1)^2 + alp_2 * s_(t-1) * e_(t-1)^2 + beta *

where r_t = return (on day t), h_t = conditional volatility on day t, and s_(t-1) = 1 if e_(t-1) < 0 (zero otherwise).

I have downloaded the packages "tseries" and "fSeries" but can not see how to fit this model.

Any help would be very much appreciated.



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