[R-sig-Finance] [R]how to estimate adding-regression GARCH Model

[Diethelm Wuertz]

The supported models are restircted to those listed in the help page.
For the family of GARCH models these are in its moste general form

    ARMA(m,n)-APARCH(p,q).

I have not considered to add regression.

Diethelm Wuertz


   



ma yuchao wrote:

> Hello, R people:
>
>     I have a question in using fSeries package--the funciton garchFit and
>garchOxFit
>  if adding a regression to the  mean formula, how to estimate the model in
>R? using garchFit or garchOxFit?
>   For example, Observations is {x,y}_t,there may be some relation between x
>and y.
>   the model is
>    y_t=gamma0 + *gamma1*x_t*+psi*e_{t-1}+e_t       the gamma1*x_t is
>regression.
>    e_t=sqrt(h_t)*N(0,1)
>    h_t=alpha0+alpha1*e_t^2+beta*h_{t_1}~~~~~~~GARCH(1,1).
>    I  didn't know how to estimate the model using function garchFit or
>garchOxFit or other functions?    because the argument in
>garchFit/garchOxFit is formular.mean=~arma(1,1).
>
>   Do you have some instrucitons?
>   thank you very much for you help.
>
>Best wishes
>
>Ma Yuchao
>
>	[[alternative HTML version deleted]]
>
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