plzz help me solving this
Answers
Answer:
have data that is stock market index. I am going to use unvaritie GARCH model but I have faced a problem. Is it possible to use dummy variable becuse our stock market index was changed in the selected in data
GARCH
Stock Markets
Financial Econometrics
Stock Market Efficiency
Share
Most recent answer
25th Jul, 2016
Ramaprasad Bhar
UNSW Sydney
Yes, you may use a dummy variable around the date of change. If you are familiar with Markov switching models then that would be applicable as well without dummy variable. In that case the model may show the importance of that changeover date unless there were other aspects as well.
Cite
1 Recommendation
All Answers (14)
1st Apr, 2016
Ramaprasad Bhar
UNSW Sydney
Yes, you may use dummy variable to indicate differential impact on the coefficients on either side of the changeover date. You need to formulate the model equations appropriately.