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
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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on 23 Jun 2014
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