Hello, R people:

I have a question in using fSeries package--the funciton garchFit and

garchOxFit

if adding a regression to the mean formula, how to estimate the model in

R? using garchFit or garchOxFit?

For example, Observations is {x,y}_t,there may be some relation between x

and y.

the model is

y_t=gamma0 + *gamma1*x_t*+psi*e_{t-1}+e_t the gamma1*x_t is

regression.

e_t=sqrt(h_t)*N(0,1)

h_t=alpha0+alpha1*e_t^2+beta*h_{t_1}~~~~~~~GARCH(1,1).

I didn't know how to estimate the model using function garchFit or

garchOxFit or other functions? because the argument in

garchFit/garchOxFit is formular.mean=~arma(1,1).

Do you have some instrucitons?

thank you very much for you help.

Best wishes

Ma Yuchao

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