How to include additional explanatory variables in the GARCH variance equation?
The rgarch package on r-forge already implements this functionality. Check here for download locations: http://rgarch.r-forge.r-project.org/download.html See the ugarchspec function for details. -Alexios Ghalanos
On 5/1/2010 1:32 AM, FaTeR wrote:
Hello List, I want to fit a garch model that has additional explanatory variables in the variance equation, i.e. h(t) = garch(1,1) + w*aexp(t-1), where aexp is a vector of several additonal (lagged) variables to explain volatility (like trading volume, or intraday/realized volatility measures). Has somebody already implemented something like this in R? The only option I see right now (apart from using another statistics programme like eViews, or OxMetrics), is to adjust the garchFit function from the fGarch package, which seems quite cumbersome. Has anybody built another function that allows for that feature?? Any hints or comments would be highly welcome! Many thanks in advance!! Regards, Fabian