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.
Este exercício faz parte do curso
GARCH Models in R
Instruções do exercício
- Specify the GJR garch model with a skewed student t distribution.
- Estimate the model.
- Compare the GJR GARCH volatility with
sgarchvol.
Exercício interativo prático
Experimente este exercício completando este código de exemplo.
# 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