External regressors in the volatility process of a GARCH.
5 views (last 30 days)
Shashank Prasanna on 23 Jun 2014
You can include exogenous inputs to the arima model (arimax) with a garch variance model:
mdl = arima('AR',0.2,'D',1,'MA',0.3,'Beta',0.5,'Variance',garch(1,1))
Exogenous variables for garch model in not supported as far as I know.