GARCH w/ dummy variance

Discussions of ARCH, GARCH, and related models

GARCH w/ dummy variance

Unread postby dcano » Tue Sep 22, 2020 5:36 pm

Hi Toam, I wish to incorporate a dummy variable in my variance model. I'm estimating a VAR-GARCH-M with bekk representation. Should I use "set" option to define the dummy variable and then "xreg" option to put it into my model? If your anwers is YES. Could you please tell me how to interpret the matrix?

The output show me (1,1), (2,1), (2,2) coeficients.

I appreciate your help
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