The RATS Software Forum

I have an database of option prices. As you know, for each trading day the option prices differ according to the exercise price and the number of days remaining until maturity. In order to keep a single price, I have use only ATM options that have the shortest term since they represent the most liqu...

please find the dataset used to estimate the model in the an attachment

And now my model with regular GJR initial values converges but with Heteroscedasticity/Misspecification Adjusted Standard Errors data(format=xls,org=columns) set x = rendement linreg x # constant x{1} Linear Regression - Estimation by Least Squares Dependent Variable X Usable Observations 741 Degree...

Thank you for your response. 1/ In terms of the model I guess that there is a structural break in terms of asymmetry and variance level after a regulation reform that's why I introduce dummy variable for these to variables. 2/ My results for the regular GJR model are as the following : garch(p=1,q=1...

Dear Tom, I use the following code to estimate a GJR-GARCH(1,1) model with dummy variable in variance eqation r(t)=beta(1)+beta(2)*r(t-1) sigma(t)^2=alpha0 + alpha1*u{1}^2+ %if(u{1}<0.0,gamma1*u{1}^2,0.0)+ %if(u{1}<0.0,gamma2* dummy *u{1}^2,0.0)+gammadummy* dummy + beta1*h{1} clear all open data PUT...

Dear irfanawan,
I want to estimate the same model. how can i did it please ?
Thank you