Doing a web search on R CRAN GJR GARCH brought up the rugarch package. The models you mentioned are discussed in the documentation to that package
https://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf On Mon, Mar 25, 2019 at 2:06 PM Amon kiregu <amonkir...@gmail.com> wrote: > what is the r code for simulating PowerGARCH,Threshold GARCH,and GJR GARCH > in order to capture heteroscedasticity,volatility clustering,etc,,so that i > can have simulation of mean part and simulation on innovation part. > thanks > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
