[R] garch external regressors
sara.bertapelle at hotmail.it
Sat Jul 28 10:18:40 CEST 2012
i have a terribly stupid question, but i hope someone could reply me! when
i'm fitting a garch model and i want to insert in the variance model some
external regressors as temporal dummy or lags of other variables and so on,
which timeline should follow the time series that i select? in other words,
if the dependent variable is at time t, the external regressors in the
ugarchspec formula should be at time t or t-1?
thanks a lot
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