###########################################################################
#
# EGARCH, TGARCH, and PGARCH ... Examples of Fits
################################################################################

module(finmetrics)

# First, Neslson(1991) EGARCH

hp.egarch = garch(hp.s~1, ~egarch(1,1), leverage=T, trace=F)
hp.egarch

# Just for fun calculate a t-statistic for the Leverage "by hand"...
coef(hp.egarch)[5]/sqrt(vcov(hp.egarch)[5,5])

#More to the point of understanding the return series,

summary(hp.garch)


################################################

# Next the TGARCH of GJR(1993)

hp.tgarch = garch(hp.s~1, ~tgarch(1,1), trace=F)

summary(hp.tgarch)

#t-stat on coefficient
coef(hp.tgarch)[5]/sqrt(vcov(hp.tgarch)[5,5])


################################ 
# Next the  PGARCH of Ding, Granger, Engle (1993): Case of d=1.
#

hp.pgarch = garch(hp.s~1, ~pgarch(1,1,1), leverage=T, trace=F)

summary(hp.pgarch)

# t-stat on leverage effect
coef(hp.pgarch)[5]/sqrt(vcov(hp.pgarch)[5,5])

#### END #####