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.
Questo esercizio fa parte del corso
GARCH Models in R
Istruzioni dell'esercizio
- Specify the GJR garch model with a skewed student t distribution.
- Estimate the model.
- Compare the GJR GARCH volatility with
sgarchvol.
Esercizio pratico interattivo
Prova a risolvere questo esercizio completando il codice di esempio.
# Specify the GJR GARCH model
garchspec <- ___(mean.model = list(armaOrder = c(0,0)),
___ = list(model = ___),
___ = ___)
# Estimate the model and compute volatility
gjrgarchfit <- ___(data = ___, spec = ___)
gjrgarchvol <- ___(___)
# Compare volatility
plotvol <- plot(abs(msftret), col = "grey")
plotvol <- addSeries(___, col = "red", on=1)
plotvol <- addSeries(sgarchvol, col = "blue", on=1)
plotvol