Search found 2 matches
- Sat Jul 05, 2014 10:58 am
- Forum: Econometric Discussions
- Topic: hetroscedasticity in VAR model
- Replies: 2
- Views: 2295
- Sat Jul 05, 2014 3:58 am
- Forum: Econometric Discussions
- Topic: hetroscedasticity in VAR model
- Replies: 2
- Views: 2295
hetroscedasticity in VAR model
Hi i am working on the return of three indices and their daily standard deviation generated by garch (1,1) with VAR model this including two group of dummy variables. so i have 6 variables overall my returns are daily return with 530 0bservation. when i do run VAR Model, i do diagnostic test on resi...