Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.
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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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Hang Qian
2014년 6월 14일
0 개 추천
I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model object, say egarch.
카테고리
도움말 센터 및 File Exchange에서 EGARCH Model에 대해 자세히 알아보기
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