Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.
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Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.
Answers (1)
Hang Qian
on 14 Jun 2014
0 votes
I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model object, say egarch.
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