Construct · 1 fields · 1 citations

GJR-GARCH: a standalone construct

One name. One construct. A landmark on the map.

● anchor · a standalone construct Nearest construct by meaning·not indexed

A single standalone construct; nearby constructs are located against it in the Collider. Tap a field for its definition, unit, and measures.

Econometrics

a GARCH model with an added term for negative shocks, capturing the tendency of bad news to raise volatility more than good news.

In econometrics, GJR-GARCH refers to a GARCH model with an added term for negative shocks, capturing the tendency of bad news to raise volatility more than good news. This meaning comes from Glosten (1993) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

Run it through the Collider, or take the citations with you.

See how GJR-GARCH sits against neighbouring constructs in the Collider, or export every reference on this page in one click.

Open in Collider Export BibTeX Report this entry

Nearby constructs

GARCH1 fields · 1 citationsanchor · a standalone construct good2 fields · 5 citationsjingle · one word, two constructs model3 fields · 3 citationsjingle · one word, three constructs

References

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. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x

Cited on this page?

Confirm your construct, or correct us.

If your work is cited behind one of these entries, you know better than we do whether we captured the meaning right. Confirm it, suggest an edit, or dispute it, and your name goes on the entry as an author who has checked it, linked to your ORCID.

Claim your construct