[R-SIG-Finance] AGARCH + rugarch

[R. Michael Weylandt <michael.weylandt@gmail.com>]

Just trying to replicate a bit of research which uses it. 

As to the value of it compared with GJR -- I'll defer to your expertise. 

Cheers,
MW

On Nov 19, 2013, at 19:57, alexios ghalanos <alexios at 4dscape.com> wrote:

> Sentana (1995) actually worked out more thoroughly the details of this
> model which he called quadratic ARCH (QGARCH).
> 
> This is not implemented in rugarch. For asymmetric response to shocks
> try the GJR (gjrGARCH), TGARCH (model="fGARCH", submodel="TGARCH")
> or NAGARCH (model="fGARCH", submodel="NAGARCH")...among others.
> If you provide compelling evidence why this model merits inclusion I
> will consider it.
> 
> Regards,
> 
> Alexios
> 
> 
> On 20/11/2013 00:34, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:
>> Is it possible to implement the AGARCH [1] of Engle 90 using rugarch? The aparch models seem close, but don't allow for different powers of epsilon as far as I can see. 
>> 
>> Thanks, 
>> Michael
>> 
>> [1] I know GARCH terminology is a mess, so I'm using that given at public.econ.duke.edu/~boller/Papers/glossary_arch.pdf (P.2 in my case)
>> 
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