Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

External regressor #107

Open
waynelapierre opened this issue Mar 6, 2023 · 1 comment
Open

External regressor #107

waynelapierre opened this issue Mar 6, 2023 · 1 comment

Comments

@waynelapierre
Copy link

The rugarch R package allows users to add external regressors to the mean and variance specifications of GARCH models. Does ARCHModels.jl have this feature?
@s-broda
Copy link
Owner

s-broda commented Mar 6, 2023

For the variance equation, not yet. For the mean equation, you can specify Regression or use a GLM.jl model, see here and here.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees
No one assigned
Labels
None yet
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
2 participants
@s-broda @waynelapierre