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hi I have a problem in understanding the concept of bai-perron test for structural changes particularly my question is about SupF_t (m)=F_T (λ_1….,λ_m) I want to know step by step how do the "m" is chosen by supF? would you explain what the supF is and how the value of this statistic is re...

hello
I estimated a Garch(1,1) model using a dummy variable as a calendar effect in conditional mean equation, but I faced a problem. The sum of the coefficients in the conditional variance equation exceeds one, so the model is explosive.
How should this be analyzed?
what should I do?

If you found that the price of a stock was stationary (for a widely traded stock on one of the major western exchanges), you probably did something wrong. hi no it wasn`t for a western exchange market! but I really what to know how do you interpret these: in ADF test, price was stationary in interc...

hi after using ADF test & zivot andrew test i found that: in ADF test, price was stationary in intercept while the other 2 models ( just trend, intercept and trend) were non stationary, alos the dlog(price) was sationary in all 3 vesion as expected. in zivot-andrews both daily price and return o...