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- Tue May 08, 2018 8:10 am
- Forum: Econometric Discussions
- Topic: EGARCH notation w/ exogenous explanatory variables
- Replies: 0
- Views: 2434
EGARCH notation w/ exogenous explanatory variables
Hello! I am modelling an EGARCH model on financial returns in eVeiws with 5 different macroeconomic indicators as independent variables (enter both in mean and variance equation). It is quite easy to find the standard notations, both for GARCH(1,1) and EGARCH(1,1), but Im struggling with how to corr...