Hi S-Plus users !
I have a data file (of 850 000 observations) which has two colums:
- Colum 1: Monday returns of thousands of different stocks
- Colum 2: Dummy variable: 0 for stocks with option and 1 for stocks without
option
I would like to see whether Options have any effect on Monday returns'
volatility.
My question is: Using S-PLUS, how can I test which stocks have a higher
volatility ?
I thought about Multivariate GARCH, but I don't know how to program it on
S-Plus :(
I would really appreciate your help.
Samir
On 5 Jun 2005 at 8:01, riadh alaoui wrote:
> how to perform pseudo maximum likelihood method to estimate garch model?
>
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Saadi@management.uottawa.ca
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