Search found 1 match
- Wed Sep 04, 2013 9:29 pm
- Forum: Estimation
- Topic: C-GARCH - long- and short-run components in mean
- Replies: 0
- Views: 1384
C-GARCH - long- and short-run components in mean
Is there a simple way to do Component GARCH with ARCH-in-mean and split the ARCH-M component into long-run and short-run components? The default seems to be to put in the mean equation the sum of the two, effectively assuming that long- and short-run components affect the mean similarly. Thanks for ...