GARCH(1,1) with dummies

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Nai_re_PAOK 2011-3-29

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.

Junjun 2012-7-27

I think its not possible. You need to program the code yourself.

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