Hello -
 
Here's what I'm trying to do. I want to fit a time series y with
ARMA(1,1) + GARCH(1,1), there are also an exogeneous variable x which I
wish to include, so the whole equation looks like:
 
y_t - \phi y_{t-1} = \sigma_t \epsilon_t + \theta \sigma_{t-1}
\epsilon_{t-1} + c x_t       where \epsilon_t are i.i.d. random
variables
 
\sigma_t^2 = omega + \alpha \sigma_{t-1}^2 + \beta y_{t-1}^2
 
 
I looked through documentation of garchFit() from the fGarch library but
didn't find a way to include exogeneous variables like x_t. How do I do
that? Thank you very much in advance!
 
Yuhan Zhang
Morgan Stanley | Fixed Income
1585 Broadway, 3rd Floor | New York, NY  10036
Phone: +1 212 761-2313
Yuhan.Zhang@morganstanley.com

 

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