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

[Jaromir Baxa]

Don't know whether R knows that, but gretl does in its 1.7 version for  
sure. It has also direct link for export and import with R.
Best,
Jaromir Baxa

Dne Mon, 21 Apr 2008 21:00:15 +0200 Radovan Fišer <rfiser at gmail.com>  
napsal/-a:

> 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
>  Prague
>  http://ies.fsv.cuni.cz/
>  radekf.net
>  bikeri.cz - kostelnibriza.cz - fiserovi.cz - hcsgang.com
>
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