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