[R] External regressors in GARCH

From: Radovan Fišer <rfiser_at_gmail.com>
Date: Mon, 21 Apr 2008 15:45:49 +0200

Hello to all R users,

up to my knowledge, neither garch(tseries) nor garchFit(fGarch) support including external regressors in the regression, which, for example, arima(stats) can do by setting xreg. Is there a package or any other way that can do this?

To be precise, I want to estimate a variance equation that goes like this: h_t = arch_t + garch_t + dummy1_t + dummy2_t + v_t.

Any advise appreciated!

Radovan Fiser

Institute of Economic Studies
bikeri.cz - kostelnibriza.cz - fiserovi.cz - hcsgang.com

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Received on Mon 21 Apr 2008 - 13:53:36 GMT

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