GARCHM_UV_DUMMY—GARCH-M Model with Dummy Shifts

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TomDoan
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GARCHM_UV_DUMMY—GARCH-M Model with Dummy Shifts

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GARCHM_UV_DUMMY.RPF is an example of a univariate GARCH-M model with a dummy shift in the "M" effect and the variance.

It is based upon a model from Sun and Tong(2010), "Risk and the January effect", Journal of Banking and Finance, vol 34, no 5, 965-974 with a (very) different data set. This is for illustration—the January effect isn't present in this data set.

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Last bumped by TomDoan on Tue Aug 13, 2024 8:59 am.
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