[R-SIG-Finance] how to add more than two external regressors in GARCH model using rgarch

[alexios]

Please READ the documentation (?ugarchspec).
I quote:
"external.regressors...A matrix object containing the external 
regressors to include in the mean equation with as many rows as will be 
included in the data (which is passed in the fit function)."

e.g. matrix(cbind(x1, x2), ncol = 2)


Regards,

Alexios

On 01/08/2011 22:42, zoe_zhang wrote:
> Dear All,
> I am working on a GARCH model with two external regressors.
> I find the rgarch package could help and just follow the ugarchspec function
> which is
> function (variance.model = list(model = "sGARCH", garchOrder = c(1,
> 1), submodel = NULL, *external.regressors = NULL*, variance.targeting =
> FALSE),
> mean.model = list(armaOrder = c(1, 1), include.mean = TRUE,
> garchInMean = FALSE, inMeanType = 1, arfima = FALSE,
> external.regressors = NULL), distribution.model = "norm",
> start.pars = list(), fixed.pars = list(), ...)
>
> Assume I have to add two external regressors x1 and x2 . I tried
> external.regressors = (x1,x2)
> or external.regressors = x1,x2
> but the result still comes out with one external regressor,
>
> does any one know how to add more than two regressors?
>
> Any suggestion would be appreciated a lot!
>
> Sincerely,
> Zoe
>
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