External regressors in the volatility process of a GARCH.

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How do I estimate a GARCH model with external regressors in the conditional variance process?

Answers (1)

Shashank Prasanna
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.


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