[R-SIG-Finance] GARCH estimation with exogenous variables in the mean equation
alexios at 4dscape.com
Fri Apr 9 22:35:49 CEST 2010
You might like to try the rgarch package on R-Forge. It allows exogenous
variables in both the mean and variance equations.
On 4/9/2010 9:00 PM, Changyou Sun wrote:
> I need to estimate a GARCH model with exogenous variables in the mean
> equation. Currently, to my understanding, the garch function in tseries
> package can handle univariate model, and garchFit in
> fGarch can handle ARMA specification.
> I wonder if there is any R function that can handle exogenous variables
> in estimating GARCH.
> Thank you a lot.
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