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- Tue Mar 19, 2013 6:50 am
- Forum: Econometric Discussions
- Topic: Direction of Change Predictability/ Probit Model
- Replies: 1
- Views: 2059
Direction of Change Predictability/ Probit Model
Hello, I am currently doing my final year project and i am looking into directional change predictability of excess returns on the S+P500. I have used a GARCH model using past excess returns to produce a set of conditional variance series as a measure of risk. However the variables in the models the...