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- Sat May 10, 2014 5:30 am
- Forum: Econometric Discussions
- Topic: GARCH with additional variables
- Replies: 1
- Views: 3151
GARCH with additional variables
Hello guys, I am a beginner in econometrics, trying to study the link between macroeconomic volatility and stock market volatility. I estimated a GARCH to capture stock market vol and for macro vol I used first time st dev(12 M rolling window) and second time a GARCH( creating new variables with &qu...