Let me answer my own question.
Exogenous variables in the conditional variance equation is:
arch return, het(L.iv) arch(1) garch(1)
Sorry to clutter. Of course feel free to correct me if I'm wrong.
Tristan
On Sun, 9 Jan 2005 00:51:17 -0500, Tristan Zajonc <[email protected]> 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?.
>
> Thanks for any assistance,
> Tristan Zajonc
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