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s-broda / ARCHModels.jl

A Julia package for estimating ARMA-GARCH models.
https://juliaeconometrics.wordpress.com/
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External regressor #107

Open waynelapierre opened 1 year ago

waynelapierre commented 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?

s-broda commented 1 year ago

For the variance equation, not yet. For the mean equation, you can specify Regression or use a GLM.jl model, see here and here.