[R] garch estimation with exogenouse variables

Changyou Sun csun at CFR.MsState.Edu
Fri Apr 9 17:28:37 CEST 2010


Hello All,

I need to estimate a GARCH model. The mean equation contains exogenous
variables like Y = B * X + et. I understand the garch function in
tseries package can handle univariate model, and garchFit in fGarch can
handle ARMA specification. Is there any function that can handle
exogenous variables?

Thank you,


Edwin



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