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- Sat Jan 02, 2021 8:40 am
- Forum: Econometric Discussions
- Topic: GARCH(1,1) Dummy Interpretation
- Replies: 0
- Views: 1158
Hello everyone, I'm a beginner in time series. I'm trying to measure the impact of COVID-19 on the UK stock market volatility. I have the log daily returns (log_dr) and a dummy variable (c1) that assumes the value of 1 after the day 29 January 2020 which was the day that the UK registered the first ...