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GJR-GARCH/Evidence
Method evidence record

GJR-GARCH

GJR-GARCH is a variant of the GARCH conditional-volatility model that captures the asymmetric effect of negative shocks on volatility using an indicator variable. It was introduced by Glosten, Jagannathan and Runkle (1993), with a closely related threshold formulation by Zakoian (1994).

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Glosten-Jagannathan-Runkle GARCH
Taxonomic method record · regression-model / econometrics
  • Glosten, L. R., Jagannathan, R. & Runkle, D. E. (1993). On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48(5), 1779-1801. · DOI 10.1111/j.1540-6261.1993.tb05128.x
  • Zakoian, J. M. (1994). Threshold Heteroskedastic Models. Journal of Economic Dynamics and Control, 18(5), 931-955. · DOI 10.1016/0165-1889(94)90039-6
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Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyARCH modelmachine-suggested · Relational suggestion, not evidence.Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyEGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyGARCH Modelmachine-suggested · Relational suggestion, not evidence.Same method familyTBATSmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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