how to estimate time-varying parameter tv_GARCH-M MODEL?
Posted: Wed Nov 17, 2010 10:41 am
Hi !I need help with my econometrics paper.i need to estimate dynamic ICAPM use a time-varying parameter tv_garch-m model, the coefficient of the conditional variance/covariance in the mean model is time-varying ,that is it is to say they are a fouction of a set of instrumental variables(see attachment ).i saw that trubador have provided a code about tv_GARCH-M MODEL(http://forums.eviews.com/viewtopic.php?f=4&t=273),but that is a fixed-paramete tv_garch-m model .i wonder how to modify it to fit dynamic ICAPM ?