Thank you for your answer!
I made it in another way.
Search found 2 matches
- Thu Feb 09, 2012 12:44 am
- Forum: Estimation
- Topic: GARCH (1,1) with additional GARCH term at lag 20
- Replies: 3
- Views: 3761
- Thu Feb 02, 2012 9:40 am
- Forum: Estimation
- Topic: GARCH (1,1) with additional GARCH term at lag 20
- Replies: 3
- Views: 3761
GARCH (1,1) with additional GARCH term at lag 20
Good morning! I am trying to fit a GARCH(1,1) model with one additional GARCH term at lag 20 in the variance equation. I tried to put the term "GARCH(-20)" in the variance regressors, however I was not able to add it as such. Anyone has an idea how i can add a garch term at lag 20 in the v...