[R] dummy variable

[Bert Gunter]

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 <ruipbarradas at 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:
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>> Sent from the R help mailing list archive at Nabble.com.
>>
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>
>
> ______________________________________________
> R-help at r-project.org mailing list
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> and provide commented, minimal, self-contained, reproducible code.



-- 

Bert Gunter
Genentech Nonclinical Biostatistics

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