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- Mon Jun 11, 2018 9:34 am
- Forum: Econometric Discussions
- Topic: GARCH modeling with a variable
- Replies: 0
- Views: 2851
GARCH modeling with a variable
Hello everyone, I do not have much experience in econometrics, but I need to make a GARCH model to measure the impact of one variable on the volatility of another. I am trying to measure how the price spread of an ETF with respect to its Net Asset Value affects the volatility of the performance of e...