Hello,

 

I wonder if you have any idea about this technical issue. I notice from
the internet that S-plus has a function like this:

 

Call: garch(formula.mean =... , formula.var=...)

 

I need to estimate a GARCH model and the mean equation contains
exogenous variables like Y = B * X + et. I understand the garch function
in tseries package can handle an univariate model, and garchFit in
fGarch can handle ARMA specification. I have no access to S-plus so I
wonder if there is any R function that can handle exogenous variables?

 

Thank you,

 

 

Edwin

 

Changyou Sun, Ph.D.

Associate Professor

Natural Resource Policy & Economics

Box 9681, Department of Forestry

Mississippi State University

Mississippi State, MS 39762

 

#363 Thompson Hall

(662) 325 7271 (ph), 325 8726 (fax)

csun@cfr.msstate.edu

www.cfr.msstate.edu/forestry

 


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