I would like to estimate an EGARCH model by subject using the rugarch and
plyr packages.  I am concerned that the external regressors named in the
ugarchspec function do not roll forward by subject.  For example, in the
code below, both subjects have the exact same dependent variables, but
different independent variables.  Yet, the parameter estimates for both
subjects are the exact same.  I think this is due to the independent
variables not changing by subject.  Am I correct?  If so, how can I work
around this?  Thank you very much.

    library(plyr)
    library(rugarch)

    set.seed(1000)

    Y <- rnorm(200)

    data <- data.frame(SUBJECT=c(rep('Alice', 200), rep('Bart', 200)),
YVAR=rep(Y, 02), XVAR=rnorm(400))
    data

    spec <- ugarchspec(mean.model=list(armaOrder=c(00,00),
external.regressors=data.matrix(data$XVAR), include.mean=TRUE),
variance.model=list(model='eGARCH', garchOrder=c(01,01)),
distribution.model='norm')

    ddply(data, .(SUBJECT), function(x) coef(ugarchfit(spec=spec,
data=x$YVAR, solver='hybrid')))

	[[alternative HTML version deleted]]

