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- Tue Sep 07, 2010 10:07 am
- Forum: Estimation
- Topic: Modeling conditional variance without ARCH/GARCH terms
- Replies: 0
- Views: 1636
Modeling conditional variance without ARCH/GARCH terms
I face the following problem. I estimate a GARCH(1,1) model with implied volatility (IV) as an extra variance regressor. I want to run some likelihood ratio tests in order to test the significance of the various terms. I can run all the alternative specifications (and get the respective Log-likeliho...