Dynamical Approach in studying GJR-GARCH (Q,P) Models with Application
DOI:
https://doi.org/10.25130/tjps.v26i2.131Abstract
This paper deals with finding stationarity Condition of GJR-GARCH(Q,P) model by using a local linearization technique in order to reduce this non-linear model to a linear difference equation with constant coefficients and then obtain the stationarity condition via a characteristic equation.
Finally we apply the obtained stationarity conditions of GJR-GARCH(Q,P) model to a real data that represents a monthly Brent Crude oil prices at closing in dollars for period (JUN. 1989-DES. 2018) and we find that GJR-GARCH(3,1) is the best model according to AIC and BIC information criteria.
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