Search found 1 match
- Tue Apr 14, 2009 7:46 pm
- Forum: Estimation
- Topic: How to estimate GARCH-M like this?
- Replies: 0
- Views: 3020
How to estimate GARCH-M like this?
r=c(1)+c(2)*r(-1)+c(3)*@sqrt(garch(-1))*r(-1)? The button of ARCH-M=sd only add the term of @sqrt(garch) in the mean equation? But how to add a term like @sqrt(garch)*R? Thanks a lot! p.s. I searched previous posts and the following methods, but I do not think it is right. 1) estimating a GARCH mode...