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- Tue Jan 13, 2015 12:55 am
- Forum: Econometric Discussions
- Topic: January effect with GARCH
- Replies: 0
- Views: 2014
January effect with GARCH
Hi, I'm using EViews 7 student version. In my attempt to analyse the January effect of a stock market using the GARCH/TARCH model, I had the following output: Dependent Variable: EGY(-1) Method: ML - ARCH (Marquardt) - Normal distribution Date: 01/13/15 Time: 07:28 Sample (adjusted): 2001M03 2011M07...