1. R

    GJR-GARCH modelling in EViews

    I am trying to use a GJR-GARCH model for returns of ftse100 index over the last 20 years using daily data. I have run: "rftse c" However, in the variance equation, the ARCH parameter (alpha) has a negative coefficient, which, as I understand, violates the non-negativity conditions. As in Brooks...
  2. A

    GJR GARCH in Stata

    Hello, I am doing a research paper on finding the asymmetric volatility 14 stock indexes from around the world, and for this I am using EGARCH and GJR GARCH, the problem which i am facing at the moment is that in EGARCH (1,1) it show the asymmetry effect, while in GJR GARCH is does not show...