79159220

Date: 2024-11-05 13:09:08
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I have a question regarding GARCH-M. My data consists of 15 years of daily logarithmic returns for OMXH25 (an Index in Finland). I want to perform GARCH-M on my data. I used the code above, but my archm term is negative (-0,17), but it should be positive according to theory about the risk-return relationship. Should i modify the code or just trust my results?

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Posted by: Andreas