lags of variance
Posted: Mon Mar 04, 2013 4:56 am
Hi
Is there an way to include lags of the variance in the mean equation in a ARCH-M model?
So, for example, the model could be:
y_t = c + lambda1*sigma_t + lambda2*sigma_t-1 + e_t
where sigma^2_t = w0 + w1*e^2_t-1.
For now, I use the command: equation ARCH1M.arch(1,0,archm=sd) c
This estimates an ARCH1 model with sigma_t in the mean equation and with ARCH(1) errors.
Thanks...
Is there an way to include lags of the variance in the mean equation in a ARCH-M model?
So, for example, the model could be:
y_t = c + lambda1*sigma_t + lambda2*sigma_t-1 + e_t
where sigma^2_t = w0 + w1*e^2_t-1.
For now, I use the command: equation ARCH1M.arch(1,0,archm=sd) c
This estimates an ARCH1 model with sigma_t in the mean equation and with ARCH(1) errors.
Thanks...