GARCH model with cross-sectional volatility; GARCHX models

0

Does numxl support dummy variables for the conditional volatility? I want to create a sub group & want to see the effect of that subgroup in the regression. i want to examine if volatility vary based on day of the week, month, in the year, prior/after holidays (e.g. Easter, Chinese new year, etc.).

Commentaires

0 commentaire

Vous devez vous connecter pour laisser un commentaire.

Ce n’est pas ce que vous cherchez ?

Nouvelle publication