[R-SIG-Finance] Estimate complex GJR-GARCH with exogeneous regressors in mean equation and dummy in variance equation

[Johannes Lips]

Didn't look much into detail but for most of those models the following 
package is just great:
http://rgarch.r-forge.r-project.org/

Greetings,

Johannes
On 10/25/2011 06:36 PM, Lin23 wrote:
> Hello,
>
> i had to estimate the following GJR-GARCH-Model:
>
>
> http://r.789695.n4.nabble.com/file/n3937352/Unbenannt.jpg
>
> r = Index-Returns (log)
> r (US / HS / B) = Index-Returns form foreign Stock Markets
> I = Dummy-Vaiabel ->  Value of one in case of negative return shocks. Value
> of zero when return innovation is zero or positive.
>
> I want to estimte the Model with robust standard errors (Bollerslev and
> Wooldridge, 1992)
>
>
> Is there a package in R that can do this? The rugarch-package can include
> exogeneous regressors to mean equation and variance equation. Is it possible
> to model the mulitplicative dummy variable y(D) in the variance equation?
> Does somebody know a good source code that i can modify or is there an easy
> way to modify the rugarch-package source code to estimate the model?
> Thanks.
>
> Greetings
>
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