Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

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jyoti Rao on 6 Jun 2014

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Answered: Hang Qian on 14 Jun 2014

Hi, I want the EGARCH code with mean and variance equation specification for the estimation of idiosyncratic volatility.

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Hang Qian on 14 Jun 2014

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I would suggest ARIMA functionality for the mean equation and a name-value pair “Variance” for a conditional variance model object, say egarch.

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