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- Mon Mar 02, 2015 11:04 am
- Forum: ARCH and GARCH Models
- Topic: Jump GARCH model
- Replies: 24
- Views: 48311
Re: Jump GARCH model
I am interested in estimating a GJR Garch or EGARCH model with jumps to see if the asymmetric volatility holds when jumps are considered. I modified Tom's GARCH jump code. It runs, but the problem is that it does not estimate the standard error for the jump parameters. The same thing happens with th...