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justreturn
2011 Jun 16
0
I need help with the mean equation in rgarch package
...trying to solve a Garch in mean
equation using the "rgarch" package.
The main issue I am facing is with the mean equation, and I need a
code for it or a lead on how to edit already existing functions.
My mean equation looks like the this:
Return = alpha + C1*Variance - (C3 + C4*Variance)*pastReturn - (C5 +
C6*Variance)*pastReturn + error ; (C3 and C4 if pastReturn > 0, C5 and
C6 if pastReturn<0)
The variance is modeled following a GARCH or eGARCH process, but this
can be done using the rgarch library.
Thank you so much for your consideration and help. I hope to hear from you soon
Bes...