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- Fri Nov 20, 2009 3:24 pm
- Forum: Econometric Discussions
- Topic: Testing for asymmetry relation stock and oil return (garch)
- Replies: 1
- Views: 4609
Testing for asymmetry relation stock and oil return (garch)
Hi all, I am using a multifactor market model to test for the relation between Stock returns and oil returns. I included oil variance, market returns, interest spread and 2 dummy variables for oil up and oil down: Return stocks = B market return + B interest rate spread + B (Dummy 1) x Oil return + ...