GARCH model with threshold?
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I need to estimate the following model:
- r_t=c+teta*x_{t-1}+delta*sigma_t+e_t
- (sigma_t)^2=w+lambda*y_{t-1}+alpha*(e_{t-1})^2+gamma*d_{t-1}*(e_{t-1})^2+beta*(sigma_{t-1})^2
- d_t=1 if e_t>0, and 0 otherwise
would you be so kind to explaine me, how can I estimate the following parametres{c,teta,delta,w,lambda, alpha, gamma, beta}?
1 个评论
Oleg Komarov
2011-5-23
Do you have the econometrics TB?
Can you please post a snapshot of the equations? You can upload the snapshot on one the repositories listed here: http://www.mathworks.com/matlabcentral/answers/7924-where-can-i-upload-images-and-files-for-use-on-matlab-answers
(I personally use tinypic.com)
Then paste the link as <<link to snap on repository>>
回答（1 个）
terance
2011-5-23
0 个投票
1 个评论
Oleg Komarov
2011-5-23
then delete the post or add the solution and accept your own answer for people to come to have a solved question.
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