Dear All:

How can I fit the garch with additional regressors in R? For example:

yt=c+b1*x1t+b2*x2t+sqrt(ht)*zt
ht=a+b*h(t-1)+c*h(t-1)z(t-1)^2

or ARMA11-garch type equation like:
 <r-sig-finance@stat.math.ethz.ch>
yt=c+b1*y(t-1)+sqrt(ht)*zt+b2*sqrt(h(t-1))*z(t-1)
ht=a+b*h(t-1)+c*h(t-1)z(t-1)^2

Is there any function available? I tried to use garchFit but it seems not
supporting addtional regressors. Thanks for any help.

ShyhWeir

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