Dear Tom,
I would like to estimate a single equation multi-factor model to measure the impact of oil price changes on the sectoral market returns. But I would like to introduce asymmetry to the mean equation by using threshold regression specification. I have the latest version GARCH workbook there some examples of univariate regime-switching but there is no example for this type of specification.
Regards
GARCH model with threshold effect in mean equation
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ege_man
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TomDoan
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Re: GARCH model with threshold effect in mean equation
Sorry. Where does GARCH fit into this? It would probably help if you actually posted your model as equations.