Hamilton-Susmel JOE 1994 SWARCH model

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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: Hamilton-Susmel JOE 1994 SWARCH model

Unread post by TomDoan »

Have you looked at your data? What's happening at entries 407 and 408? No GARCH model, no AR model, or AR-GARCH model, is going to be able to explain that.
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