gjrsk_est: This function estimates GJRSK model's parameters.

In GARCHSK: Estimating a GARCHSK Model and GJRSK Model

Description

This function estimates GJRSK model's parameters.

Usage

gjrsk_est(data)

Arguments

data	vector time series data

Value

list of parameters,standard errors of parameters,t-statistics,the minimum value of log-likelihood,AIC and BIC.

Examples

  library(GARCHSK)
  #load data
  data(GBP)
  
  # Estimate the parameters of GJR-SK model
  gjrsk_GBP<-gjrsk_est(GBP[1:100])
  
  # Parameters
  gjrsk_GBP$params

GARCHSK documentation built on July 22, 2021, 9:08 a.m.