dummy variable for EGARC
Posted: Thu Jul 14, 2011 1:01 pm
Hi..
I am quite new in Eviews. I hope somebody can help me.
Right now I'm doing my thesis on volatility of daily stock return:Evidence from Indonesia.
I use EGARCH Model application to analyze volatility clustering pre and during world financial
crisis in late 2000s.
FYI, before crisis there are some volatility clustering that caused by terorism issue, political
change, and natural catastrophe. To enhance my analysis, I want to distuish the volatility clustering
between those causes, which one generate higher volatility?
My first question, do I have to use dummy variable in this case?if yes, how can I set dummy variable?
Secondly, how can put dummy variable into my EGARCH estimation?
Thank you very much..
I am quite new in Eviews. I hope somebody can help me.
Right now I'm doing my thesis on volatility of daily stock return:Evidence from Indonesia.
I use EGARCH Model application to analyze volatility clustering pre and during world financial
crisis in late 2000s.
FYI, before crisis there are some volatility clustering that caused by terorism issue, political
change, and natural catastrophe. To enhance my analysis, I want to distuish the volatility clustering
between those causes, which one generate higher volatility?
My first question, do I have to use dummy variable in this case?if yes, how can I set dummy variable?
Secondly, how can put dummy variable into my EGARCH estimation?
Thank you very much..