[R] External regressors in GARCH

Radovan Fišer rfiser at gmail.com
Mon Apr 21 15:45:49 CEST 2008

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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