C-GARCH - long- and short-run components in mean
Posted: Wed Sep 04, 2013 9:29 pm
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.