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- Sun Sep 08, 2013 12:55 pm
- Forum: Estimation
- Topic: Garch with multiplicative dummy
- Replies: 1
- Views: 1849
Garch with multiplicative dummy
Hi I am new to Eviews. I was trying to estimate a Garch (1,1) using variance regressors. My goal is to demonstrate that the creation of an ETF generates an impact on the variance of the underlying stocks. So I estimate a garch (1,1) using the return of a stock as dependent variable an d the return o...