Hello everyone,
I am a user of Stata 13.1.
I want to estimate a GARCH(1,1)-in-Mean model with an additional independent variable, defined as the product of a dummy variable and the conditional variance, in the mean equation.
Unfortunately, I do not know how to include such an interactive term and the conditional variance in the mean equation simultaneously.
The idea is from the Model 3 in Table 1 of Sun, Q. and Tong, W. H. S. (2010) 'Risk and the January effect', Journal of Banking and Finance, 34(5), pp. 965-974.
I tried the typical GARCH-in-Mean model by using the command
arch R L.R, het(Dummy) arch(1/1) garch(1/1) archm
Obviously, my command does not include the interactive term.
Many thanks for all your kind support. Any comments will be highly appreciated.
Best wishes,
Catherine
I am a user of Stata 13.1.
I want to estimate a GARCH(1,1)-in-Mean model with an additional independent variable, defined as the product of a dummy variable and the conditional variance, in the mean equation.
Unfortunately, I do not know how to include such an interactive term and the conditional variance in the mean equation simultaneously.
The idea is from the Model 3 in Table 1 of Sun, Q. and Tong, W. H. S. (2010) 'Risk and the January effect', Journal of Banking and Finance, 34(5), pp. 965-974.
I tried the typical GARCH-in-Mean model by using the command
arch R L.R, het(Dummy) arch(1/1) garch(1/1) archm
Obviously, my command does not include the interactive term.
Many thanks for all your kind support. Any comments will be highly appreciated.
Best wishes,
Catherine
