ARJI-Exponential-GARCH model

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ARJI-Exponential-GARCH model

Unread postby prashantj » Sat Jan 09, 2021 10:20 pm

Hi Tom,

I want to modify the Chan and Maheu (2002) method to ARJI-Exponential-GARCH model and apply it to my study. How do I introduce EGARCH in the program? What is the code for it? please

Your help is appreciated. Here is the reference for it.
Ref:
Kuttu, S. (2017). Time-varying conditional discrete jumps in emerging African equity markets. Global Finance Journal, 32, 35-54. https://doi.org/https://doi.org/10.1016 ... 016.06.004


Prashant
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