multiplied for the lagged squared residuals in the
conditional variance regressor should I put as
regressor the residual estimated from the mean
equation?Sorr if my question is not precise, but I'm
not an expert in time series and I mean that I must
find residuals from a previous estimation (with an
autoregressive model) and then save them and use in
the conditional variance equation multiplied by my
dummy. Is this right?
Many thanks.
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