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when i run the simple GARCH i get five coefficients for mean and the variance equation. however when i change the option to GARCH M and run the GARCH M there is no change in the coefficients from simple GARCH even when i change the no of coeffient in the matrix from 5 to 6. i.e I dont get the coeffc...

Thanks alot. It worked. Now i am estimating GARCH M and have deviced the following: !iwindow = 36 !istep = 1 !length = @obsrange equation eq1 !nrolls = @round((!length-!iwindow)/!istep) matrix(5,!nrolls) coefmat !j=0 for !i = !iwindow to !length !j=!j+1 smpl @first+!i-1 @first+!i-1+!window eq1.garch...

I am working on my dissertation. I have eleven years monthly data on 300 stocks and the market index. I have already calculated the log returns for the stocks and market in excel and have imported the data into excel file. I need to estimate a rolling regression of each stock where the moving window...