Is it possible to use the GATCH11 likelihood with nonzero mean? I want to implement the heteroscedastic variance, and am using a for loop in the model (I would use a scan, but I am unsure how to store the intermediate variables). Any thoughts?

GARCH11 with nonzero mean?

mathDR January 30, 2023, 8:47pm 6

Yeah I think the class needs to be extended to account for non-zero means.

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