[R] rugarch for GJR

[nserdar]

hi


>From *uguarchfit()* output;   *$sigma* values are same as above formulation: 

sigma(t-1)^2= omega1+ alpha1*return(t-1)^2 + gamma1* I(t-1)*return(t-1)^2 +
beta1*sigma(t-1)


Can I use output of $sigma ^2 instead of above formulation ?

spec<-ugarchspec(variance.model = list(model = "gjrGARCH", garchOrder = c(1,
1), submodel = NULL, external.regressors = NULL, variance.targeting =
FALSE), mean.model = list(armaOrder=c(0,0),include.mean = FALSE, archm =
FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex =
FALSE), distribution.model = "norm", start.pars = list(), fixed.pars =
list())
 
 ugarchfit(spec, data, out.sample = 0, solver = "solnp", solver.control =
list(1), fit.control = list(stationarity = 1, fixed.se = 0, scale=0))

Regards,
Ser



 

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