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- Fri Apr 03, 2015 7:17 am
- Forum: Bug Reports
- Topic: GARCH forecasting
- Replies: 19
- Views: 34574
Re: GARCH forecasting
Hi I was wondering if anyone could help with this problem? I'm using a VAR model to estimate the relationship between share returns and its volatility that I have estimated using a GARCH(1,1) model. I can generate the return of the shares but I am unsure of how to get the GARCH(1,1) model into a tim...