GARCH(1,1) with dummies
显示 更早的评论
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
where D_t is a dummy that takes the value of 1 after a date, and zero before.
It is a simple GARCH(1,1) with two extra terms that capture a differential news and vol dynamics after a specific date.
Is it possible to incorporate this in the garchspec command, or estimate it somehow?
Thanks in advance.
回答（1 个）
Junjun
2012-7-27
0 个投票
I think its not possible. You need to program the code yourself.
类别
在 帮助中心 和 File Exchange 中查找有关 Programming 的更多信息
2011-3-29
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!
Translated by 
