Hello everyone, I am trying to run a GARCH regression on a panel dataset.
I have an unbalanced panel dataset with gaps, consisting of securities and daily returns. I am trying to find out whether it is possible to run a panel regression of the GARCH(1,1) model and whether this is different to a multivariate GARCH regression. The GARCH model can be found under: Statistics --> Time series --> ARCH/GARCH or Multivariate Time series --> Multivariate GARCH. Both these options have inputs on dependent and independent variables. I am not sure what to fill in as GARCH regresses squared returns on its lags.
Could somebody please shed some light on whether a GARCH panel regression is possible and whether its different to a multivariate GARCH regression. Appreciate any feedback. Thank you.
I have an unbalanced panel dataset with gaps, consisting of securities and daily returns. I am trying to find out whether it is possible to run a panel regression of the GARCH(1,1) model and whether this is different to a multivariate GARCH regression. The GARCH model can be found under: Statistics --> Time series --> ARCH/GARCH or Multivariate Time series --> Multivariate GARCH. Both these options have inputs on dependent and independent variables. I am not sure what to fill in as GARCH regresses squared returns on its lags.
Could somebody please shed some light on whether a GARCH panel regression is possible and whether its different to a multivariate GARCH regression. Appreciate any feedback. Thank you.
