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- Fri Nov 20, 2009 10:55 pm
- Forum: Estimation
- Topic: diagonal vech
- Replies: 0
- Views: 2757
diagonal vech
hello i am trying to mutivariate garch ar(1)-garch(1,1) & estimating diagonal vech model. i have a quenstion which is conditional mean equation. I have esimated to stock price of 3 counturies and the mean eq is Rt= C+ Rt-1+U Originally in the textbook about this theory, the estimated diagonal ve...