You can do the regression on the returns and
then fit the garch model on the residuals. That
will most probably be very close to the result
if you did it "right".
Patrick Burns
patrick@...
+44 (0)20 8525 0696
http://www.burns-stat.com(home of S Poetry and "A Guide for the Unwilling S User")
Stefano Balietti wrote:
> Hi,
> I'm looking for R packages able to perform GARCH-like fitting (estimates),
> such as fGarch, tseries and FinTS, but that allow me to specify extra
> regressors for the mean equation. It doesn't seem to me that the
> above-mentioned packages permit that, but maybe I'm wrong. However, does
> anyone have any suggestion?
>
> Cheers,
>
> Stefano Balietti
>
> [[alternative HTML version deleted]]
>
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