Search found 2 matches
- Thu Apr 12, 2018 8:16 pm
- Forum: ARCH and GARCH Models
- Topic: structural breaks in conditional variance equation
- Replies: 8
- Views: 16899
Re: structural breaks in conditional variance equation
Thank you very much for your response, Tom! It is a great support and help!
- Tue Apr 10, 2018 9:35 pm
- Forum: ARCH and GARCH Models
- Topic: structural breaks in conditional variance equation
- Replies: 8
- Views: 16899
Re: structural breaks in conditional variance equation
Dear Tom, I am sorry but I am quite new to VAR-BEKK-GARCH model and I just started using Rats. Similar to irfanawan, I also detect two breaks in variance of R1 and and three in variance of R2. So how could I introduce the detected structural breaks indicated by dummy variables into each variance equ...