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Sample Question
Posted: Mon Feb 06, 2017 8:53 am
by e1983
Does anyone know how to modify the GARCH instruction so as to only estimate the GARCH models during different phases of the business cycle (i.e. recessions)?
Re: Sample Question
Posted: Mon Feb 06, 2017 9:04 am
by TomDoan
What would that mean? A GARCH model has a recursion which determines the variance. What happens when you have a gap?
Re: Sample Question
Posted: Mon Feb 06, 2017 11:22 am
by e1983
Never mind. You're right. Brain lapse. I was trying to figure out if an independent variable had differing effects on the conditional variance during the business cycle. I got it figured out. Thanks