How to Interpret the Results of VECM-EGARCH model
Posted: Thu Sep 04, 2014 6:01 am
Hi
I am intended to check the lead-lag relationship and price discovery in Indian stock and futures market using intraday data. In literature I found that ECM- EGARCH Model best suits for this purpose. I have run the model and now struck in the analysis. Can any one help me out to analyse the EGARCH coefficients. Just theoretical explanation about the coefficients is sufficient.
Thank you
I am intended to check the lead-lag relationship and price discovery in Indian stock and futures market using intraday data. In literature I found that ECM- EGARCH Model best suits for this purpose. I have run the model and now struck in the analysis. Can any one help me out to analyse the EGARCH coefficients. Just theoretical explanation about the coefficients is sufficient.
Thank you