External regressors in the volatility process of a GARCH.

6 views (last 30 days)
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.

Categories

Find more on Conditional Variance Models in Help Center and File Exchange

Tags

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!