[R-SIG-Finance] How to include additional explanatory variables in the GARCH variance equation?
fabianterner at gmail.com
Sat May 1 02:32:13 CEST 2010
I want to fit a garch model that has additional explanatory variables in the
variance equation, i.e.
h(t) = garch(1,1) + w*aexp(t-1),
where aexp is a vector of several additonal (lagged) variables to explain
volatility (like trading volume, or intraday/realized volatility measures).
Has somebody already implemented something like this in R? The only option I
see right now (apart from using another statistics programme like eViews, or
OxMetrics), is to adjust the garchFit function from the fGarch package,
which seems quite cumbersome. Has anybody built another function that allows
for that feature?? Any hints or comments would be highly welcome! Many
thanks in advance!!
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