hi
>From *uguarchfit()* output; *$sigma* values are same as above formulation: sigma(t-1)^2= omega1+ alpha1*return(t-1)^2 + gamma1* I(t-1)*return(t-1)^2 + beta1*sigma(t-1) Can I use output of $sigma ^2 instead of above formulation ? spec<-ugarchspec(variance.model = list(model = "gjrGARCH", garchOrder = c(1, 1), submodel = NULL, external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder=c(0,0),include.mean = FALSE, archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE), distribution.model = "norm", start.pars = list(), fixed.pars = list()) ugarchfit(spec, data, out.sample = 0, solver = "solnp", solver.control = list(1), fit.control = list(stationarity = 1, fixed.se = 0, scale=0)) Regards, Ser -- View this message in context: http://r.789695.n4.nabble.com/rugarch-for-GJR-tp4421225p4421225.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
