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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
jyoti Rao am 6 Jun. 2014
Beantwortet: Hang Qian am 14 Jun. 2014
Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

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Hang Qian
Hang Qian am 14 Jun. 2014
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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