C-GARCH - long- and short-run components in mean
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C-GARCH - long- and short-run components in mean
Is there a simple way to do Component GARCH with ARCH-in-mean and split the ARCH-M component into long-run and short-run components? The default seems to be to put in the mean equation the sum of the two, effectively assuming that long- and short-run components affect the mean similarly. Thanks for any hints.
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