Modelling volatility spillover with univariate EGARCH
Posted: Sat Apr 15, 2017 12:18 am
Hi,
I have problems with estimation volatility spillover effect between foreign exchange and stock market using univariate EGARCH (attach the fromula for volatility). The coefficient measuring spillover effect appears higher than 1, I can not find out what the mistake is. Maybe the reason is in wrongly generated residual series, I do it by using EGARCH for the exchange rate without spillover element, am I rignt?
I would highly appreciate if someone can help me! I have very litle time to finish this research
I have problems with estimation volatility spillover effect between foreign exchange and stock market using univariate EGARCH (attach the fromula for volatility). The coefficient measuring spillover effect appears higher than 1, I can not find out what the mistake is. Maybe the reason is in wrongly generated residual series, I do it by using EGARCH for the exchange rate without spillover element, am I rignt?
I would highly appreciate if someone can help me! I have very litle time to finish this research