[R] dummy variable

saraberta sara.bertapelle at hotmail.it
Sun Jul 22 09:53:17 CEST 2012

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 
thank's a lot

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