mu of the garch-in-mean mean equation

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misscats
Posts: 29
Joined: Wed Mar 19, 2014 8:37 am

mu of the garch-in-mean mean equation

Postby misscats » Fri Mar 28, 2014 8:21 am

Dear all

I read another post here that someone run the equation:

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y = mu + H*lambda + res ' res ~ N(0,H) ' ' H = omega*omega' + beta H(-1) beta' + alpha res(-1) res(-1)' alpha'
and get

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mu(1) = eq1.c(2)
The above case is to assume no other independent variables.

However, I have a arch-in-mean mean equation as:

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y= c1*c + c2* x1 + c3*x2 + c4*x3 + lambda*H* + res 'note: c1,c2, c3, c4, lambda are coefficients ' res ~ N(0,H) ' H = omega*omega' + beta H(-1) beta' + alpha res(-1) res(-1)' alpha'
After running the programme, I have all the coefficients.
How should I get 'mu' as the above mentioned and mu is in a 1x1 matrix?

Thanks for your help in advance.

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