Search found 1 match
- Sat Apr 27, 2013 11:53 am
- Forum: Estimation
- Topic: [!Urgent!] ECM with Garch Errors
- Replies: 0
- Views: 1336
[!Urgent!] ECM with Garch Errors
Hi All, I evaluated optimal hedge ratios with an ECM model including the following equation: dlogjet c dlog1 dlog1(-1) dlog1(-2) dlog1(-3) dlog1(-4) dlog1(-5) dlogjet(-1) dlogjet(-2) dlogjet(-3) dlogjet(-4) dlogjet(-5) e1(-1) Already tested for unit root & cointegration between the two variables...