Search found 2 matches
- Fri May 28, 2010 3:22 am
- Forum: Econometric Discussions
- Topic: Range-Based (Parkinson) GARCH
- Replies: 0
- Views: 2312
Range-Based (Parkinson) GARCH
Hi I am trying to incorporate a range (high low) in forecasting volatility using GARCH. Can anyone suggest a good reading material regarding (book) this topic. Can anyone verify if its as easy as using the range ln(high/low) as the input in the GARCH model? Thanks
- Tue Apr 20, 2010 5:55 am
- Forum: Econometric Discussions
- Topic: Bivariate GARCH (1,1) diagnostic checking
- Replies: 0
- Views: 2237
Bivariate GARCH (1,1) diagnostic checking
Hi I need help with my econometrics paper. I need to estimate CAPM using bivariate GARCH. My problem is: I am not sure on how to diagnose a bivariate garch (1,1) model.... how do i check if the model is appropriate for my data. Is the diagnostic checking in univariate garch the same as the bivariate...