GARCH modeling with a variable

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Jerko
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Joined: Mon Jun 11, 2018 8:20 am

GARCH modeling with a variable

Postby Jerko » Mon Jun 11, 2018 9:34 am

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 each of its underlying assets. My question is whether in modeling the GARCH, the spread should go as an independent variable in the mean equation or should it be included in the variance equation. I would appreciate any help you can give me.

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