how to estimate adding-regression GARCH Model
The supported models are restircted to those listed in the help page.
For the family of GARCH models these are in its moste general form
ARMA(m,n)-APARCH(p,q).
I have not considered to add regression.
Diethelm Wuertz
ma yuchao wrote:
Hello, R people:
I have a question in using fSeries package--the funciton garchFit and
garchOxFit
if adding a regression to the mean formula, how to estimate the model in
R? using garchFit or garchOxFit?
For example, Observations is {x,y}_t,there may be some relation between x
and y.
the model is
y_t=gamma0 + *gamma1*x_t*+psi*e_{t-1}+e_t the gamma1*x_t is
regression.
e_t=sqrt(h_t)*N(0,1)
h_t=alpha0+alpha1*e_t^2+beta*h_{t_1}~~~~~~~GARCH(1,1).
I didn't know how to estimate the model using function garchFit or
garchOxFit or other functions? because the argument in
garchFit/garchOxFit is formular.mean=~arma(1,1).
Do you have some instrucitons?
thank you very much for you help.
Best wishes
Ma Yuchao
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