Hi Tom,
I know it is a lot to ask, I wonder if can I put the one lagged return in each mean equation? What adjustments shall I do to the codes you wrote before?
Thank you so much!
Best,
Jason
Search found 2 matches
- Fri May 13, 2016 10:20 am
- Forum: ARCH and GARCH Models
- Topic: Bivariate Garch Model with dummy and interactions
- Replies: 24
- Views: 38269
- Thu May 05, 2016 7:38 am
- Forum: ARCH and GARCH Models
- Topic: Bivariate Garch Model with dummy and interactions
- Replies: 24
- Views: 38269
Bivariate Garch Model with dummy and interactions
Dear Tom, I wish to run a bivariate Garch model similar to the one in section 5.3.1 Sun et. al. 2009 (Sun, Q., Tong, W. H., & Yan, Y. (2009). Market liberalization within a country. Journal of Empirical Finance, 16(1), 18-41.). The model I intend to run is in the attached pic. Ra and Rb are stoc...