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?.
Thanks for any assistance,
Tristan Zajonc
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