Message-ID: <4BBF8FA5.7030601@4dscape.com>
Date: 2010-04-09T20:35:49Z
From: Alexios Ghalanos
Subject: GARCH estimation with exogenous variables in the mean equation
In-Reply-To: <9E8CBEC169F6C94D8FFD9E97AC051998010ED702@mail.cfr.msstate.edu>
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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