Hello,

I need to estimate a GARCH model with exogenous variables in the mean
equation. Currently, to my understanding, the garch function in tseries
package can handle univariate model, and garchFit in
fGarch can handle ARMA specification. 

I wonder if there is any R function that can handle exogenous variables
in estimating GARCH.

Thank you a lot.


Edwin

 


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