[R-SIG-Finance] External regressors in GARCH variance eq.

Radovan Fišer rfiser at gmail.com
Mon Apr 21 21:00:15 CEST 2008

Hello to all R users,

up to my knowledge, neither garch(tseries) nor garchFit(fGarch)
support including external regressors in variance equation regression
(not mean), which, for  example, arima(stats) can do by setting xreg.
Is there a package or any other way that can do this?

 To be precise, I want to estimate a variance equation that goes like this:
 h_t = arch_t + garch_t + dummy1_t + dummy2_t + v_t.

 Any advise appreciated!

 Radovan Fiser

 Institute of Economic Studies
 bikeri.cz - kostelnibriza.cz - fiserovi.cz - hcsgang.com

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