mu of the garch-in-mean mean equation
Posted: Fri Mar 28, 2014 8:21 am
Dear all
I read another post here that someone run the equation:
and get
The above case is to assume no other independent variables.
However, I have a arch-in-mean mean equation as:
After running the programme, I have all the coefficients.
How should I get 'mu' as the above mentioned and mu is in a 1x1 matrix?
Thanks for your help in advance.
I read another post here that someone run the equation:
Code: Select all
y = mu + H*lambda + res
' res ~ N(0,H)
'
' H = omega*omega' + beta H(-1) beta' + alpha res(-1) res(-1)' alpha'
Code: Select all
mu(1) = eq1.c(2)
However, I have a arch-in-mean mean equation as:
Code: Select all
y= c1*c + c2* x1 + c3*x2 + c4*x3 + lambda*H* + res 'note: c1,c2, c3, c4, lambda are coefficients
' res ~ N(0,H)
' H = omega*omega' + beta H(-1) beta' + alpha res(-1) res(-1)' alpha'
How should I get 'mu' as the above mentioned and mu is in a 1x1 matrix?
Thanks for your help in advance.