currently im working on international CAPM thesis, and i wanna know is it possible to use covariance estimated from multivariate garch in mean equation instead of variance or standard deviation?
i attach the model ive been trying to create..
and is it possible to have different option in "archm" instead only var, standard deviation, and log(var) ??
thank you
Covariance in mean equation
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ramadhan23
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Covariance in mean equation
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