slope dummy for GARCH coefficient
Posted: Fri Dec 24, 2010 12:26 am
Hello there!
Could anyone guide me how to incorporate slope dummy into the variance equation of the GARCH regression equation?
While it is easy to include slope dummy for arch coefficient by putting "dummy*resid(-1)" in the variance regressors box but what need to be done to include similar dummy for garch coefficient as putting "dummy*garch(-1)" will not work due to syntax errors.
help me on this ......
Raju
Could anyone guide me how to incorporate slope dummy into the variance equation of the GARCH regression equation?
While it is easy to include slope dummy for arch coefficient by putting "dummy*resid(-1)" in the variance regressors box but what need to be done to include similar dummy for garch coefficient as putting "dummy*garch(-1)" will not work due to syntax errors.
help me on this ......
Raju