Part 2 of the basic steps on estimation procedures for Univariate Volatility Modelling using: ARCH(1)-ARCH(5), GARCH(1,1), EGARCH(1,1) and GJR-GARCH (or TGARCH) Models.
Thanks for the Video. For the GJR model, what is the interpretation when the gamma coefficient is positive? Does it imply that positive shocks impact volatility more than negative shocks?
If the gamma coefficient sign or (asymmetry effect) is positive and statistically significant, that means negative shocks increase volatility than postive shocks. However, if the sign is negative, that means negative shocks reduce volatility than positive shocks.
