extra explanatory variable in DCC-Garch model
Posted: Mon May 07, 2012 4:14 am
Dear all,
I would like to estimate a DCC garch model and to impute an exogenous variable in only the second variance equation.
If I use « xregressors », the extra explanatory variable ‘TMM’ will be automatically added in both variances equations
garch(p=1,q=1,nomean,xregressors,method=bfgh, hseries=ht2) / spot future
# TTM
Thank you very much in advance for your help!
I would like to estimate a DCC garch model and to impute an exogenous variable in only the second variance equation.
If I use « xregressors », the extra explanatory variable ‘TMM’ will be automatically added in both variances equations
garch(p=1,q=1,nomean,xregressors,method=bfgh, hseries=ht2) / spot future
# TTM
Thank you very much in advance for your help!