Exercise

Estimation of GJR garch model

Just like any GARCH model, the GJR GARCH model is used to predict volatility. We use this model now to predict the volatility of the daily returns of Microsoft over the period 1999 till 2017.

These returns are available in the console as the variable msftret. We have already computed the standard GARCH volatility predictions for you. They are available in the object sgarchvol.

Instructions

100 XP

Specify the GJR garch model with a skewed student t distribution.
Estimate the model.
Compare the GJR GARCH volatility with sgarchvol.

Take Hint (-30 XP)