[R-SIG-Finance] How to include additional explanatory variables in the GARCH variance equation?

[alexios]

The rgarch package on r-forge already implements this functionality.

Check here for download locations:
http://rgarch.r-forge.r-project.org/download.html

See the ugarchspec function for details.

-Alexios Ghalanos

On 5/1/2010 1:32 AM, FaTeR wrote:
>
> Hello List,
>
> 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!!
>
> Regards,
>
> Fabian
>