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- Wed Jun 06, 2018 4:22 am
- Forum: Programming
- Topic: GARCH- rolling regressions
- Replies: 16
- Views: 31267
Re: GARCH- rolling regressions
Hi trubador, I also want to estimate a model which captures the effect of the interaction between conditional volatility and the lagged dependent variable. Could u hint me to the code you mentioned? The model I want to estimate in Eviews is the following: r_t = beta_0 + beta_1 "conditional vari...