Statements (24)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
volatility model |
| gptkbp:accountsFor |
asymmetric effects in volatility
|
| gptkbp:capturedBy |
leverage effect
|
| gptkbp:developedBy |
Glosten, Jagannathan, and Runkle
|
| gptkbp:extendsTo |
gptkb:GARCH
|
| gptkbp:field |
finance
econometrics |
| gptkbp:form |
conditional variance equation with indicator function
|
| gptkbp:fullName |
Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedasticity
|
| https://www.w3.org/2000/01/rdf-schema#label |
GJR-GARCH
|
| gptkbp:introducedIn |
1993
|
| gptkbp:parameter |
alpha
beta gamma omega |
| gptkbp:publishedIn |
gptkb:Journal_of_Finance
|
| gptkbp:relatedTo |
gptkb:EGARCH
gptkb:TARCH gptkb:ARCH |
| gptkbp:usedFor |
modeling financial time series volatility
|
| gptkbp:bfsParent |
gptkb:GARCH
gptkb:GARCH_model |
| gptkbp:bfsLayer |
7
|