GARCH estimation with exogenous variables in the mean equation
You might like to try the rgarch package on R-Forge. It allows exogenous variables in both the mean and variance equations. Regards, Alexios Ghalanos
On 4/9/2010 9:00 PM, Changyou Sun wrote:
Hello, I need to estimate a GARCH model with exogenous variables in the mean equation. Currently, to my understanding, the garch function in tseries package can handle univariate model, and garchFit in fGarch can handle ARMA specification. I wonder if there is any R function that can handle exogenous variables in estimating GARCH. Thank you a lot. Edwin [[alternative HTML version deleted]]
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