GARCH model with threshold effect in mean equation
Posted: Fri Jul 06, 2018 6:59 am
Dear Tom,
I would like to estimate a single equation multi-factor model to measure the impact of oil price changes on the sectoral market returns. But I would like to introduce asymmetry to the mean equation by using threshold regression specification. I have the latest version GARCH workbook there some examples of univariate regime-switching but there is no example for this type of specification.
Regards
I would like to estimate a single equation multi-factor model to measure the impact of oil price changes on the sectoral market returns. But I would like to introduce asymmetry to the mean equation by using threshold regression specification. I have the latest version GARCH workbook there some examples of univariate regime-switching but there is no example for this type of specification.
Regards