Covariance in mean equation
Posted: Wed Oct 15, 2014 5:55 pm
currently im working on international CAPM thesis, and i wanna know is it possible to use covariance estimated from multivariate garch in mean equation instead of variance or standard deviation?
i attach the model ive been trying to create..
and is it possible to have different option in "archm" instead only var, standard deviation, and log(var) ??
thank you
i attach the model ive been trying to create..
and is it possible to have different option in "archm" instead only var, standard deviation, and log(var) ??
thank you