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- Sat Jan 03, 2015 7:52 am
- Forum: Estimation
- Topic: GARCH with variables
- Replies: 29
- Views: 54376
Re: GARCH with variables
Excuse me, I have a question about this model. Mean equation: R = α0 + α1*R(t-1) + α2*JAN + α3*ht+ α4*ht*JAN + et ; Variance equation: ht= b0+b1*h(t-1)+b2*e^2(t-1) where ht is the variance of et conditional upon the information set at time t -1 and is modeled following an ARMA (1, 1) process. Can yo...