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- Tue Aug 03, 2010 6:30 am
- Forum: Estimation
- Topic: STCC-GARCH model question
- Replies: 0
- Views: 2078
STCC-GARCH model question
Hello, I am estimating STCC-GARCH model in Eviews. Firstly, I estimate the M-GARCH, then the correlation and then the STCC-GARCG correlation based on a transition variable. I have the following code: rho12= c(1) + c(2)*(1-@logit(c(3)*(st-c(4))))*rho12(-1) + c(5)*@logit(c(3)*(st-c(4))))*rho12(-1) In ...