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specifying exogenous variable with GARCH(1,1)
How do I specify an additonal exogenous variable with a GARCH(1,1) model?My GARCH(1,1) model is :EPTIME (t) = c + a1 * PTIME(t-1) + b1 * EPTIME(t-1) - (A), Now I want to add another exogenous variable (spread) to the current GARCH(1,1) model, which is given as:EPTIME (t) = c + a1 * PTIME(t-1) + b1 * EPTIME(t-1) + gamma * spread(t-1) - (B)How can I specify this regression in Eviews, R, etc?Any help will be highly appreciated.Thanks.PS: Edited my old post
Last edited by buckeye on August 9th, 2005, 10:00 pm, edited 1 time in total.