GARCH on swap rates
Posted: Wed Sep 26, 2012 11:25 am
Hi
I am trying to estimate a GARCH model on a sample of swap rates which I have attached.
I have a question regarding the dependent variable: should it be the swap rate, the daily change or the daily log change?
I am trying to estimate a GARCH model on a sample of swap rates which I have attached.
I have a question regarding the dependent variable: should it be the swap rate, the daily change or the daily log change?