CGARCH mean equation
Posted: Sat Aug 27, 2016 9:36 am
Hi!
I am using the CGARCH model but in my mean-equation, how can I add both transitory and permanent volatility variables instead of the total volatility (garch)? So, in this way I can detect the effect both short- and long-run volatility to the mean equation.
Thank you very much!
I am using the CGARCH model but in my mean-equation, how can I add both transitory and permanent volatility variables instead of the total volatility (garch)? So, in this way I can detect the effect both short- and long-run volatility to the mean equation.
Thank you very much!