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Thank you for your reply. About specification of my model, lagged squared residuals of other countries (captured by application of GARCH-M for each country separately) are added to the volatility equation of the country which is under investigation, estimated coefficients of those other countries' l...

Thank you for your reply trubador. Just double checking, how could I test stationarity of the mean equation? Thank you for your help!
Cheers
Tinoosh

I wish to know why one country's spillover effects to my selected dependent country is "not significant" when I am considering standard deviation in the mean equation (GARCH-M), but the same country's volatility spillover shows "significant" effects through GARCH, not considering...

I have got a question, about fulfilling the stationary condition of the volatility specification, my question is that I have got some cases where ARCH+GARCH effects are more than one (1); and do not know how to resolve that, I want to know: 1. how can I resolve that, considering the fact that I have...

also I wish to know why one country's spillover effects to my selected dependent country is "not significant" when I am considering standard deviation in the mean equation (GARCH-M), but the same country's volatility spillover shows "significant" effects through GARCH, not consid...

Thank you for your reply trubador. Also I have got one more question, about fulfilling the stationary condition of the volatility specification, my question is that I have got some cases where ARCH+GARCH effects are more than one (1); and do not know how to solve that, I want to know: 1. how can I s...

I have applied GARCH-M to analyse significance of volatility spillover effects from some developed countries to developing countries. My question is when I plug in lagged squared residuals of e.g., U.S. in Iran volatility equation to analyse significance of volatility spillover effects from U.S. sto...