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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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jyoti Rao
jyoti Rao el 6 de Jun. de 2014
Respondida: Hang Qian el 14 de Jun. de 2014
Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

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Hang Qian
Hang Qian el 14 de Jun. de 2014
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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