[R-SIG-Finance] How to add lagged values to rugarch-model

[Lasse Thorst]

Hi - First question here, so please bear with me:

I would like to added lagged values to a rugarch-model, but have been
unable to find answers in the vignette.

Basic test-code:

require(rugarch)
require(quantmod)

x = runif(n = 1000, min = -5, max = 100)
ext.reg_lagged = cbind(Lag(x, k = 1), Lag(x, k = 2))
ext.reg = cbind(x + runif(n = 1000, min = 5, max = 20), x - runif(n = 1000,
min = 5, max = 15))

fit.spec <- ugarchspec(variance.model = list(model = "sGARCH",
                                                 garchOrder = c(1, 1)),
                       mean.model         = list(armaOrder = c(3, 1),
                                                 include.mean = TRUE,
                                                 external.regressors =
ext.reg), # with ext.reg.lagged it does not work.
                       distribution.model = "sstd")

fit      <- ugarchfit(data = x, spec = fit.spec, solver = "hybrid")

Now this works perfectly, but if I exchange the external.regressors =
ext.reg_lagged
it no longer works.

How can you do this in rugarch? Or do I need to try another package?

/Regards Lasse

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