On 26/11/2024 19:50, Sven Schreiber wrote:
Am 26.11.2024 um 19:39 schrieb Burak Korkusuz:
Hi,
For GARCH command, is there any trick to include an exogenous variable
in the Variance Equation. Following the semicolon, any variable
written after dependant variable is included in the Mean Equation. For
example,
garch 1 1 ; R const
I know, Eviews does this by @ operator following dependant variable. I
am just wondering is there any way to do this?
I think the "gig" (garch-in-gretl) addon offers this.
Oh yes it does.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucche...@univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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