Hello, I have the similar issue in estimating a GARCH model with exogenous variables in the mean equation. Currently, to my understanding, the garch function in tseries package can handle univariate model, and garchFit in fGarch can handle ARMA specification.
I wonder if there is any R function that can handle exogenous variables in estimating GARCH? Thank you a lot. Edwin -- View this message in context: http://n4.nabble.com/another-GARCH-problem-tp859307p1819640.html Sent from the R help mailing list archive at Nabble.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.
