arma-garch-M

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jmanuel
Posts: 10
Joined: Fri Oct 31, 2014 8:29 am

arma-garch-M

Postby jmanuel » Fri Apr 19, 2019 4:49 am

How can I estimate an ARMA(p,q)-GARCH-M" model in which the term Std Dev (or the variance) in the mean is (t-1) instead of being contemporary (t)?
Thanks

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