Hello to all R users, up to my knowledge, neither garch(tseries) nor garchFit(fGarch) support including external regressors in the regression, 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 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
