Search found 2 matches
- Mon Jan 10, 2011 12:10 am
- Forum: Estimation
- Topic: Slope dummy in GARCH variance equation
- Replies: 0
- Views: 1892
Slope dummy in GARCH variance equation
Hello there! Could anyone guide me how to incorporate slope dummy into the variance equation of the GARCH regression equation? While it is easy to include slope dummy for arch coefficient by putting "dummy*resid(-1)" in the variance regressors box but what need to be done to include simila...
- Fri Dec 24, 2010 12:26 am
- Forum: Estimation
- Topic: slope dummy for GARCH coefficient
- Replies: 0
- Views: 1426
slope dummy for GARCH coefficient
Hello there! Could anyone guide me how to incorporate slope dummy into the variance equation of the GARCH regression equation? While it is easy to include slope dummy for arch coefficient by putting "dummy*resid(-1)" in the variance regressors box but what need to be done to include simila...