Sample Question
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e1983
- Posts: 20
- Joined: Sun Aug 28, 2011 2:32 am
Sample Question
Does anyone know how to modify the GARCH instruction so as to only estimate the GARCH models during different phases of the business cycle (i.e. recessions)?
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TomDoan
- Posts: 7825
- Joined: Wed Nov 01, 2006 4:36 pm
Re: Sample Question
What would that mean? A GARCH model has a recursion which determines the variance. What happens when you have a gap?
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e1983
- Posts: 20
- Joined: Sun Aug 28, 2011 2:32 am
Re: Sample Question
Never mind. You're right. Brain lapse. I was trying to figure out if an independent variable had differing effects on the conditional variance during the business cycle. I got it figured out. Thanks