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- Sat Apr 15, 2017 12:18 am
- Forum: Estimation
- Topic: Modelling volatility spillover with univariate EGARCH
- Replies: 0
- Views: 2843
Modelling volatility spillover with univariate EGARCH
Hi, I have problems with estimation volatility spillover effect between foreign exchange and stock market using univariate EGARCH (attach the fromula for volatility). The coefficient measuring spillover effect appears higher than 1, I can not find out what the mistake is. Maybe the reason is in wron...