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- Sun Jul 05, 2015 6:51 pm
- Forum: Econometric Discussions
- Topic: GARCH-M model with interaction term
- Replies: 1
- Views: 3115
GARCH-M model with interaction term
Hi, I am going to run a regression by using the GARCH-M model. I have done it before, but this time the mean funtion is Rt=α+θσt^2+(φ0+φ1*σt^2)*R(t-1)+εt, where σ^2 is the conditional variance and Rt is the stock returns. The conditional variance should use GARCH-M model and I know that. But once th...