[R-SIG-Finance] Arch - garch model plus dummies in R
Juan Miranda
con@u|torm@rket|ng@jm|r@nd@ @end|ng |rom gm@||@com
Thu Feb 27 12:37:36 CET 2020
Hello all, I hope when you receive this mail, you are right.
I was tried to fit an Arch-garch model whit I have additional three dummy
variables to put in the model, this dummy are shocks (impulse)
But I'm new in R, and I don't know how to fit the model.
My model is
dlog(x)(2,1,0)(0,4,0)
arch(1)
Garch(1)
in eviews is:
dlog(x,1,4) c dummy1 dummy2 dummy3 ar(1) ar(2)
arch(1)
Garch(1)
I don't understand how to fit this model in R
Please, you could help me? I'm very grateful whit you.
Thanks in advance.
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