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- Mon Sep 30, 2013 4:51 am
- Forum: Econometric Discussions
- Topic: Using same exogenous variable in mean and variance
- Replies: 0
- Views: 1323
Using same exogenous variable in mean and variance
Hi - it is great to have this forum Here's my question, I'd be very happy if I could get some ideas: I am doing a simple GARCH(1,1) model with 1 exogenous variable whose effect I want to test on both, the mean and the variance. Is it correct to use this same variable simultaneously in both equations...