Exogenous regressors for viola model

RJT1990 / pyflux

Open source time series library for Python

BSD 3-Clause "New" or "Revised" License

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Exogenous regressors for viola model #164

Open metiltyou opened 3 years ago

metiltyou commented 3 years ago

Hi, I was wondering if it is possible to include exogenous regressors in (E)GARCH vola models. Since I've seen that it is possible for in mean models (for example the beta t EGARCH), it may also work with vola models? Thank you!