Ahmad
Registered: Aug 2012
Posts: 2 |
08-28-12 06:56 AM
Hello,
I am doing a research paper on finding the asymmetric volatility 14 stock indexes from around the world, and for this I am using EGARCH and GJR GARCH, the problem which i am facing at the moment is that in EGARCH (1,1) it show the asymmetry effect, while in GJR GARCH is does not show asymmetry, Y (Segma) is negative, and this happens to be for all the fourteen indexes, can anyone tell me the steps to do the GJR GARCH in Stata? and whether its possible to have contradicting results from two models.
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