How to estimate GARCH-M like this?
Posted: Tue Apr 14, 2009 7:46 pm
r=c(1)+c(2)*r(-1)+c(3)*@sqrt(garch(-1))*r(-1)?
The button of ARCH-M=sd only add the term of @sqrt(garch) in the mean equation? But how to add a term like @sqrt(garch)*R?
Thanks a lot!
p.s. I searched previous posts and the following methods, but I do not think it is right.
1) estimating a GARCH model first without conditional variance in the mean equation
2) generate the conditional variance
3) next create another GARCH system, this time place the conditional variance terms from the first system in the mean equations
4) estimate this system
5) generate the conditional variance with the same name as the first time
6) repeat 4) and 5) until no improvement in model criteria (log likelihood, AIC, etc.)
Could you please help me to use the logl programs? Thanks a million~
The button of ARCH-M=sd only add the term of @sqrt(garch) in the mean equation? But how to add a term like @sqrt(garch)*R?
Thanks a lot!
p.s. I searched previous posts and the following methods, but I do not think it is right.
1) estimating a GARCH model first without conditional variance in the mean equation
2) generate the conditional variance
3) next create another GARCH system, this time place the conditional variance terms from the first system in the mean equations
4) estimate this system
5) generate the conditional variance with the same name as the first time
6) repeat 4) and 5) until no improvement in model criteria (log likelihood, AIC, etc.)
Could you please help me to use the logl programs? Thanks a million~