GARCH(1,1) with dummies
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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.
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Junjun
am 27 Jul. 2012
I think its not possible. You need to program the code yourself.
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