GARCHM_UV_DUMMY—GARCH-M Model with Dummy Shifts
Posted: Tue Aug 13, 2024 8:59 am
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.
Detailed Description
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.
Detailed Description