I am conducting a multivariate time series analysis and my time series variables are measured in different scales (Dollars, Rupees, counts). I want to know whether standardization of variables is required before I apply VAR/ARCH/GARCH models. In addition, I want to know whether the mentioned models can be used if I have dummy variables.
Your level variables must be converted to log returns before you estimate these models. However, it is not clear how you define the “counts” variable. You should ensure that all variables exhibit a certain level of heteroscedasticity and clustering.
Our recent paper published in Energy Economics might help you to get some direction for your analysis:
Article Risk transmission from the oil market to Islamic and convent...
You can download a brief version of the code written in RATS from the link below:
https://estima.com/forum/viewtopic.php?f=11&t=3608&sid=04f52b90089ae7f1d1093c9e4886ec13
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