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
el 14 de Jun. de 2014
0 votos
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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Más información sobre EGARCH Model en Centro de ayuda y File Exchange.
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el 14 de Jun. de 2014
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