Quasi Maximum Likelihood Estimation of the GJR-GARCH Model with Matlab
We report Matlab code for Quasi Maximum Likelihood estimation of the GJR-GARCH (Glosten-Jagannathan-Runkle GARCH) model; moreover, we report a Monte Carlo simulation which shows that the Quasi Maximum Likelihood estimator converges to the true parameters. We use the t5-student innovation for the GJR-GARCH process.
OTHER DETAILS: All Matlab code files must be included in the same folder, and the folder must be added to the Matlab path. The main Matlab file which includes the Monte Carlo simulation is entitled "MainFile.m". All other Matlab files included in this repository -i.e., "MLE_normal_tgarch.m" and "mycon_threshold_garch.m"- are ancillary files that are used to estimate the parameters of the GJR-GARCH model.