Sample Question

[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)?

[TomDoan]

What would that mean? A GARCH model has a recursion which determines the variance. What happens when you have a gap?

[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