Additional term in GARCH regression?
Posted: Fri Mar 23, 2012 7:45 am
Hi all,
I'm struggling a bit with how to estimate a specific GARCH model. Does anyone know if it is possible to add an additional constructed term to the conditional variance equation with TGARCH or GJR GARCH and if so what does the code look like in that case?
Thankfull for any input,
Best regards
Yonaaz
I'm struggling a bit with how to estimate a specific GARCH model. Does anyone know if it is possible to add an additional constructed term to the conditional variance equation with TGARCH or GJR GARCH and if so what does the code look like in that case?
Thankfull for any input,
Best regards
Yonaaz