Multiplicative Error Model
Posted: Thu May 26, 2011 11:44 am
Hello everyone,
I have this model:
]
with:
rt=returns
ht=conditional variance
R=intraday range (high minus low, high frequency data variable)
RV=realized variance
zt~nid(0,1)
There is someone who has developed a code for this model ???
Any suggestions and comments would be much appreciated.
I have this model:
]
- Immagine.jpg (20.38 KiB) Viewed 2271 times
rt=returns
ht=conditional variance
R=intraday range (high minus low, high frequency data variable)
RV=realized variance
zt~nid(0,1)
There is someone who has developed a code for this model ???
Any suggestions and comments would be much appreciated.