Sara: Are you sure?? I am wholly unfamiliar with garch, but in general, R does not need dummy variables at all. You make your covariate a factor with appropriate contrasts and then write an appropriate model formula, in this case, with an interaction with your series.
I could be wrong in this case, but do check. Perhaps someone with garch model experience will comment. -- Bert On Sun, Jul 22, 2012 at 5:45 AM, Rui Barradas <ruipbarra...@sapo.pt> wrote: > Hello, > > See if this is it. > > > returns <- rnorm(10) > dummy <- ifelse(returns < 0, -1, 0) > > > Hope this helps > > Rui Barradas > > Em 22-07-2012 08:53, saraberta escreveu: >> >> Hi, >> i need a little help! i must create a dummy variable to insert as external >> regressor in the variance equation of a garch model; this dummy is >> referred >> to the negative sign of returns of an asset, so it has to be 1 when >> returns >> are negative and 0 when they are positive, and in my model the dummy is >> multiplied by another time series, the daily range. (have i explained >> well?!) >> thank's a lot >> sara >> >> >> >> -- >> View this message in context: >> http://r.789695.n4.nabble.com/dummy-variable-tp4637347.html >> Sent from the R help mailing list archive at Nabble.com. >> >> ______________________________________________ >> R-help@r-project.org mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. -- Bert Gunter Genentech Nonclinical Biostatistics Internal Contact Info: Phone: 467-7374 Website: http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
