Hello,
I am trying to re-estimate parameters and standard errors in a mean regression
equation by simultaneously running a GARCH (1,1) variance equation. This should
be relatively straightforward, but I cannot for the life of me get it to work.
This has taken up several weeks of my life already.
My mean equation is this:
dlm2A1A<-lm(A1.0-rSP_RI.0~rSP_RI.0+inter.0+interdev.1+inter.1+interdev.2+inter.2+interdev.3+inter.3+interdev.4
I'm fairly sure I need to use the uGARCHspec function and have adpoted this:
ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),
submodel = NULL, external.regressors = NULL, variance.targeting = FALSE),
mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, archm = TRUE,
archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE),
distribution.model = "norm", start.pars = list(), fixed.pars = list())
How to correctly input the mean equation in the 'external.regressors='
parameter is beyond me. Also, I don't know where my actual data fits in here as
this is just a framework without any identification of the data.
Can anyone help?
Drew
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