[R] external regressors in garch variance
sara.bertapelle at hotmail.it
Tue Jul 24 10:57:46 CEST 2012
i need your help!i'm trying to fit a multiplicative error model using
rugarch, imposing a null mean for the garch model so the resulting variance
is the mean of my multiplicative error model.
the point is that i need to increase the number of external regressors,
including asymmetric effect, dummy variables and other variables, but when i
insert in ugarchspec(variance.model=list(...external.regressors=X)) the
output of the model doesn't include 'vxreg1', 'vxreg2',..' as it should.
where do i wrong?
thanks a lot
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