Search found 2 matches
- Sat Sep 19, 2015 12:52 am
- Forum: Econometric Discussions
- Topic: GARCH(1,1) with dummies
- Replies: 1
- Views: 1857
Re: GARCH(1,1) with dummies
I would really appreciate if someone gives me an answer.Thanks!
- Fri Sep 18, 2015 9:15 am
- Forum: Econometric Discussions
- Topic: GARCH(1,1) with dummies
- Replies: 1
- Views: 1857
GARCH(1,1) with dummies
Hello, i have run a garch (1,1) model as you see below in order to find the day of the week effect. May i use this variance equation to explain the leverage effect or i need to run a different one? Thank you. Dependent Variable: RGD Method: ML ARCH - Normal distribution (BFGS / Marquardt steps) Incl...