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Question
GARCH(1,1) with dummies
I am trying to estimate the following GARCH spec: h_t = a0 + a1*e^2_t-1 + a2*h_t-1 + a3*D_t-1*e^2_t-1 + a4*D_t-1*h_t-1 whe...
15 years ago | 1 answer | 0
