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Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

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jyoti Rao 2014-6-6

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回答： Hang Qian 2014-6-14

Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

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Hang Qian 2014-6-14

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I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model object, say egarch.

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