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- Sat Jun 25, 2016 8:09 pm
- Forum: Estimation
- Topic: Inclusion of dummy variables in Multivariate GARCH Model
- Replies: 1
- Views: 3628
Inclusion of dummy variables in Multivariate GARCH Model
Hi everyone, I am estimating Multivariate GARCH-BEKK model where I would like to include dummy variables (to account for structural breaks) in both mean and variance/covariance equations. Each variable/series would be having different break points (so, dummies). I am not able to know how to include ...