CGARCH mean equation

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wangwz
Posts: 16
Joined: Sat Feb 20, 2016 3:45 am

CGARCH mean equation

Postby wangwz » Wed Aug 31, 2016 1:35 pm

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!
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