ARJI-Exponential-GARCH model

[prashantj]

Hi Tom,

I want to modify the Chan and Maheu (2002) method to ARJI-Exponential-GARCH model and apply it to my study. How do I introduce EGARCH in the program? What is the code for it? please

Your help is appreciated. Here is the reference for it.
Ref:
Kuttu, S. (2017). Time-varying conditional discrete jumps in emerging African equity markets. Global Finance Journal, 32, 35-54. https://doi.org/https://doi.org/10.1016 ... 016.06.004


Prashant