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- Mon Mar 31, 2014 9:02 am
- Forum: Estimation
- Topic: OLS regression with GARCH residuals
- Replies: 2
- Views: 3648
OLS regression with GARCH residuals
Hello. I'm modelling the risk premium in the Nordic electricity market using weekly contracts. I have chosen to do an OLS regression. In my literature study, I read an article which did a similar regression. Although, due to extreme spikes the model explains very little of the variance. They develop...