GARCH with conditional variance dummies

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GARCH with conditional variance dummies

Postby wangwz » Thu Sep 14, 2017 3:39 am

Hi there,

i am wondering if it is possible to include conditional variance dummies in mean equations, my current estimation is

Code: Select all

arch(ged, garch, archm=var) r c nt nt*dummy @ no ne rf no*dummy ne*dummy rf*dummy

that is nt, no, ne, and rf have dummies, however, i also want to make archm have a dummy in the mean equation.

Thanks very much!

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