GARCH model with threshold effect in mean equation

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ege_man
Posts: 85
Joined: Sat Jul 07, 2012 2:39 pm

GARCH model with threshold effect in mean equation

Unread post by ege_man »

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
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: GARCH model with threshold effect in mean equation

Unread post by TomDoan »

Sorry. Where does GARCH fit into this? It would probably help if you actually posted your model as equations.
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