rugarch is a package that allows you to do Univariate GARCH.
What package should I be using if I want to estimated a multi-factor
univariate GARCH model.
For example:
sp_ret = alpha_0 + alpha1*(market_index_ret) +alpha2*(exchange_rate_return)
+ error
sigma^2 = gamma_0 + gamm1*(error^2_{t-1}) + gamma2*(sigma^2_{t-1})
Thanks.
--
Abhishek
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