gjr

  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...