Search found 3 matches
- Tue Sep 06, 2011 10:14 am
- Forum: Programming
- Topic: Modified Garch in Mean
- Replies: 2
- Views: 2151
Re: Modified Garch in Mean
It seems I solved the problem. Sorry for the back and forth.
- Tue Sep 06, 2011 10:03 am
- Forum: Programming
- Topic: Modified Garch in Mean
- Replies: 2
- Views: 2151
Re: Modified Garch in Mean
PS If I set the values of the coefficients small enough I get a result, however this method seems to be quite arbitrary, so I would also appreciate any advice on the starting values. Thx
- Tue Sep 06, 2011 9:34 am
- Forum: Programming
- Topic: Modified Garch in Mean
- Replies: 2
- Views: 2151
Modified Garch in Mean
I would very much appreciate it if somebody could give me advice on a modified Garch in Mean model which I am trying to estimate as part of my thesis. The equation is given by: Y(t)=alpha+beta_1*sigma+beta_2*(sigma*Y(t-1))+u(t) Sigma(t)=eta+lambda(1)*u(t-1)^2+lambda(2)*sigma(t-1) (this model is esti...