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- Mon Apr 08, 2013 3:41 am
- Forum: Econometric Discussions
- Topic: (E)GARCH, R^2, Groups Estimation
- Replies: 9
- Views: 16030
Re: (E)GARCH, R^2, Groups Estimation
hi guys do you have any reference for this explanation coz i need to use this for my research. "R-squared is only valid for mean equation, whereas GARCH models deal with variance equation. Therefore, you should not worry about its value no matter what the estimation yields. Convergence properti...