Open waynelapierre opened 1 year ago
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?
For the variance equation, not yet. For the mean equation, you can specify Regression or use a GLM.jl model, see here and here.
Regression
GLM.jl
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?