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Posted: **Thu Feb 02, 2012 9:40 am**

Good morning!

I am trying to fit a GARCH(1,1) model with one additional GARCH term at lag 20 in the variance equation.
I tried to put the term "GARCH(-20)" in the variance regressors, however I was not able to add it as such.

Anyone has an idea how i can add a garch term at lag 20 in the variance equation?

Thank you for your answer!

p.s.: it's urgent

Posted: **Thu Feb 02, 2012 12:08 pm**

I don't believe that's possible with the built in GARCH estimator. You might have to code it up yourself.

Posted: **Thu Feb 09, 2012 12:44 am**

Thank you for your answer!
I made it in another way.

Posted: **Sat Jun 16, 2012 1:41 am**

how did you manage to do it in another way?

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GARCH (1,1) with additional GARCH term at lag 20

GARCH (1,1) with additional GARCH term at lag 20

Re: GARCH (1,1) with additional GARCH term at lag 20

Re: GARCH (1,1) with additional GARCH term at lag 20

Re: GARCH (1,1) with additional GARCH term at lag 20