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GJR Model

Glosten-Jagannathan-Runkle GARCH model for volatility clustering

If negative shocks contribute more to volatility than positive shocks, then you can model the innovations process using a GJR model and include leverage effects. For details on how to model volatility clustering using a GJR model, see gjr.

Apps

Econometric ModelerAnalyze and model econometric time series

Functions

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gjrGJR conditional variance time series model
estimateFit conditional variance model to data
inferInfer conditional variances of conditional variance models
summarizeDisplay estimation results of conditional variance model
simulateMonte Carlo simulation of conditional variance models
filterFilter disturbances through conditional variance model
forecastForecast conditional variances from conditional variance models

Examples and How To

Create Model

Fit Model to Data

Generate Monte Carlo Simulations

Generate Minimum Mean Square Error Forecasts

Concepts