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- Mon Jul 09, 2012 1:26 pm
- Forum: Econometric Discussions
- Topic: GARCH-M Model Volatility
- Replies: 0
- Views: 1705
GARCH-M Model Volatility
Hi, I am estimating a GARCH-M Model. I am regressing daily S&P 500 returns annualized and in the variance equation I am using a lagged value of the implied volatility (obtained via the VIX index). The implied volatility is annualized. Now once I have estimated the model I use it generate 1 step ...