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

[alexios ghalanos]

ext.reg_lagged has NA's in the first few lines which are NOT allowed.
Even though you are using an ARMA(3,1), the conditional mean model will 
still make use of those values for t+1,t+2 and t+3, together with the 
'intercept'. Replace the NA's with either zero or their mean values (or 
anything other than NA).

Alexios

On 05/11/2014 14:16, Lasse Thorst wrote:
> 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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