[R-SIG-Finance] Adding external regressors on conditional variance model

alexios alexios at 4dscape.com
Thu Aug 20 16:01:28 CEST 2015


The answer is yes and yes. Add variable(s) lagged.



On 20/08/2015 14:57, Assis Duraes wrote:
> Hi,
> first of all I would like to thanks for the rugarch package. it is really
> useful and a very nice package.
> I am investigating the effect of external variables on conditional variance
> models forecasts. more specifically, I am would like to check if the
> addition of implied volatility and realized variance as external regressors
> on a GJR (1,1) model somehow enhance the daily volatility forecasts of it.
> Looking for a tool to help modelling it I found the rugarch package, and
> started looking into it. In fact, at this point, I believe I have a very
> basic question. but did not find an answer on previous posts or in the
> package documentation.
> Should I inform the external regressors matrix in model spec already lagged
> or not? I imagine, yes, since I did not find in any place where specify the
> lags for those regressors, but would like to confirm. In case affirmative,
> If I want to use a same variable with different lags I need to inform it
> multiple times, obviously with different lags, in external.regressors
> matrix, correct?
> My apologies in advance if it is explained somewhere, but as I explained, i
> search without much success..
> Thanks in advance for any help with that,
> Assis.
> 	[[alternative HTML version deleted]]
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