[R-SIG-Finance] AGARCH + rugarch

[alexios ghalanos]

On 20/11/2013 02:35, R. Michael Weylandt <michael.weylandt at gmail.com> wrote:
> 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. 
> 
No idea...never used the QGARCH model before.

> 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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>>
> 
> 
Regards,

Alexios