I want to examine volatility spillover between Spot and future using EGARCH. The mean equation is as follows:
retussi c retussi(-1) retusci(-1)
Where retussi refers to spot and retusci refers to future.
What will be the interpretation of my variance equation (specifically ARCH and GARCH term). The variance equation is as follows:
LOG(GARCH) = C(4) + C(5)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(6)*RESID(-1)/@SQRT(GARCH(-1)) + C(7)*LOG(GARCH(-1)) + C(8)*RESID01.
RESID01 is the residual of future, which has been taken as variance regressor.