Hello all, I’m utilizing GARCH(1,1) to estimate voaltility and I wish to know whether or not quantity and open curiosity impacts volatilty. Thus I’m looking for the coefficients of vol and open_int within the mannequin. Since quantity and open curiosity are of huge magnitude I’ve scaled them utilizing some fixed. Nonetheless the importance is relying of coefficients is depenging on the fixed, which I imagine ought to be the case. I’m doing one thing fallacious within the code or some flaw in my logic?
I’m solely becoming quantity and open curiosity to imply mannequin solely to see their have an effect on on volatility. is it okay or another ought to be preffered?
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