Dear all,
I am currently working on the "racd" package of Alexios about modeling
time-varying higher moment for returns series.
In the package, however, there are limited choices of specifications for
the conditional variance, in compared with its predecessor “rugarch”.
I am just wondering how could I impose other specifications into the
conditional variance function, such as GIR-GARCH specification to account
for potential leverage effect in the series?
Best regards,
T
--
*Best regards, *
TRUNG
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