[R-SIG-Finance] Is it possible to import residuals of mean.model into variance.model in rugarch package or others?

SamuelS samuelsangchy at hotmail.com
Wed Dec 26 08:14:29 CET 2012

  I try to build up a GARCH model in which i want to multiply pre-lagged
squared residuals of mean.model(RES(-1)^2) and several dummy variables(Fi,
i=1,2,3,…) and use the product RES(-1)^2*Fi as a variable in variance.model,
similar to but different from 'gjrGARCH'. 
  I am learning and trying to use the rugarch package to fit the model, but
it seems that the spec function can not contain a unknown variable RES(-1),
the residuals of mean.model.  Then I checked vignette(bottom of page4) and
found "the mean and variance equations in the maximization of the likelihood
is carried out jointly in a single step" insteading of 2-step method. Does
it imply it is impossible to use residuals of mean.model as a variable or
part of a variable in variance.model in rugarch package? 
   Please let me know if there is a solution by using rugarch package or
other packages. Thanks a lot.

Best regards,

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