[R] GARCH estimation with exogenous variables in the mean equation

Edwin Sun csun at cfr.msstate.edu
Fri Apr 9 19:03:25 CEST 2010


I have the similar issue in estimating 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.

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