GARCH model with threshold?

Question

terance 2011-5-23

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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/8039-garch-model-with-threshold

I need to estimate the following model:

r_t=c+teta*x_{t-1}+delta*sigma_t+e_t
(sigma_t)^2=w+lambda*y_{t-1}+alpha*(e_{t-1})^2+gamma*d_{t-1}*(e_{t-1})^2+beta*(sigma_{t-1})^2
d_t=1 if e_t>0, and 0 otherwise

would you be so kind to explaine me, how can I estimate the following parametres{c,teta,delta,w,lambda, alpha, gamma, beta}?

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Oleg Komarov 2011-5-23

Do you have the econometrics TB?

Can you please post a snapshot of the equations? You can upload the snapshot on one the repositories listed here: http://www.mathworks.com/matlabcentral/answers/7924-where-can-i-upload-images-and-files-for-use-on-matlab-answers

(I personally use tinypic.com)

Then paste the link as <<link to snap on repository>>

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