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has it beeb solved, please?

Hi there, i am wondering if it is possible to include conditional variance dummies in mean equations, my current estimation is arch(ged, garch, archm=var) r c nt nt*dummy @ no ne rf no*dummy ne*dummy rf*dummy that is nt, no, ne, and rf have dummies, however, i also want to make archm have a dummy in...

Many thanks!

Hi!

I was doing GARCH-M estimation as I usually did but the results return many NAs. So, can someone help me with this? I really appreciate it!

Hi!

I am using the CGARCH model but in my mean-equation, how can I add both transitory and permanent volatility variables instead of the total volatility (garch)? So, in this way I can detect the effect both short- and long-run volatility to the mean equation.

Thank you very much!

Hi!

I am using the CGARCH model but in my mean-equation, how can I add both transitory and permanent volatility variables instead of the total volatility (garch)? So, in this way I can detect the effect both short- and long-run volatility to the mean equation.

Thank you very much!

I am using a GMM estimation in a system like below ro = c(1)+c(2)*cci(-1)+c(3)*dy+c(4)*gdpg+c(5)*ipg+c(6)*ir+c(7)*ircpi+c(8)*unrate rt = c(9)+c(10)*cci(-2)+c(11)*dy+c(12)*gdpg+c(13)*ipg+c(14)*ir+c(15)*ircpi+c(16)*unrate rth = c(17)+c(18)*cci(-3)+c(19)*dy+c(20)*gdpg+c(21)*ipg+c(22)*ir+c(23)*ircpi+c(2...

Yes. If you want different coefficients give them different numbers.

I see. Thanks very much! :D

c(1) only takes on one value, even if it appears in multiple equations.

So you mean actually the coefficients are identical across all equations in this system?

View/Coefficient diagnostics/Wald

Thanks very much for your reply. May I ask what I should type in the Wald test? I want to test whether in the system of equations, c(1)s from all individual equations are jointly zero.

No. The t-statistic on the line that starts with C(1) is testing whether C(1) is zero. The t-statistic on the line that starts with C(2) is testing whether C(2) is zero. The t-statistic on the line that starts with C(3) is testing whether C(3) is zero. The t-statistic on the line that starts with C...

The coefficient is zero

so you mean the coefficients in the system are jointly zero?

Your question makes little sense.

Hi, I attached a picture and my question is the t-stat (circled). I don't quite understand the null hypothesis for the t-stat.