estimating garch(1,1)

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Joined: Sun Feb 23, 2014 4:18 pm

estimating garch(1,1)

Postby thephoenix22 » Fri May 16, 2014 9:15 am

hey dear members;
im a begginer in econometrics, i have to do a regression of glod prices serie over stock returns serie as in the followong equation:
r = c(1) + c(2)*s + c(3)*d10*s +c(4)*d05*s + c(5)*d01*s
where "r" stands for gold prices , "s" for stock returns, and "d" represents the dummy variables used to capture for high volatility's quantiles.
i'm confused, wether the gold prices and the return prices series should be stationarised or not , in order to run this regression ?
i'd be deeply grateful for any contribution of yours !

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