Marco Unico

2 Questions 1 Answers 0 Followers

Questions related from Marco Unico

How do I choose whethere to include external regressors in the mean or the variance equation (or both) in GARCH?

I am a complete beginner and I am using EVIEWS, I have monthly information on portfolio returns, as well as returns on the ftse 100, and other risk factors such as value and size. I am wondering...

14 April 2019 6,198 3 View

How do I choose whethere to include external regressors in the mean or the variance equation (or both) in GARCH?

I am a complete beginner and I am using EVIEWS, I have monthly information on portfolio returns, as well as returns on the ftse 100, and other risk factors such as value and size. I am wondering...

04 April 2019 10,032 3 View