egarch
Posted: Wed Jan 30, 2013 12:27 am
hi,
I am currently working on an estimation for stock volatility with a EGARCH-model, including one exogenous variable in the Variance Equation, exchange rate and one dummy variable, being not very familiar with eviews , I would like to ask
you 2 questions:
1) Where am I supposed to mention dummy variable in my mean equation or in variance regressors ?
2) if my mean equation is like " it_period c ar(1)"what expression I am supposed to mention on variance regressors dialog box if there is one exogenous variable "ex_period" and one "dummy"
I am currently working on an estimation for stock volatility with a EGARCH-model, including one exogenous variable in the Variance Equation, exchange rate and one dummy variable, being not very familiar with eviews , I would like to ask
you 2 questions:
1) Where am I supposed to mention dummy variable in my mean equation or in variance regressors ?
2) if my mean equation is like " it_period c ar(1)"what expression I am supposed to mention on variance regressors dialog box if there is one exogenous variable "ex_period" and one "dummy"