Hi useRs,

a daily garch(1,1) model can be extended whereby the variance equation 
incorporates say higher frequency volatility measure.

The variance equation would look something like:

s(t)2 = garch(1,1) + a*v(t-1)

whereby v(t-1) would be the intraday vola of yesterday ("a" the coef.).

How can this be implemented in R?

I checked "garch" of "tseries". An extended formula cannot be specified. 
fitGarch of "fseries" might be able to do that. Unfortunately, I am not 
quite sure how to specify in the fseries package.

Or would the estimation have do be done manually?

Comments and hints highly appreciated!

Thanks!

Bernd

	[[alternative HTML version deleted]]

