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.
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Hang Qian
il 14 Giu 2014
0 voti
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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Prodotti
il 6 Giu 2014
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