st: Re: arch conditional variance specif

[Kit Baum <baum@bc.edu>]

    het(varlist) specifies varlist be included in the specification of 
the conditional variance.
        varlist may contain time-series operators.  This varlist enters 
the variance specification
        collectively as multiplicative heteroskedasticity.

It is very useful to read the [ts] arch manual entry for this command 
since it is so flexible and quite complicated.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On Jan 9, 2005, at 2:33 AM, Tristan wrote:


> I'm new to time series so this may be basic.
>
> I'm trying to add exogenous variables to the conditional variance
> equation of a GARCH(1,1) model.  Namely adding implied volatilities to
> the GARCH(1,1) of sp500 returns.  I'm trying to replicate classic
> volatility forecasting results.
>
> Adding exogenous variables to the mean equation is just:
>
> arch return L.iv, arch(1) garch(1)
>
> Is there a similar trivial way to add exogenous variables to the
> conditional variance equation?.
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