Hello to all R users,
up to my knowledge, neither garch(tseries) nor garchFit(fGarch)
support including external regressors in variance equation regression
(not mean), which, for example, arima(stats) can do by setting xreg.
Is there a package or any other way that can do this?
To be precise, I want to estimate a variance equation that goes like this:
h_t = arch_t + garch_t + dummy1_t + dummy2_t + v_t.
Any advise appreciated!
Radovan Fiser
--
Institute of Economic Studies
Prague
http://ies.fsv.cuni.cz/ radekf.net
bikeri.cz - kostelnibriza.cz - fiserovi.cz - hcsgang.com
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