Hi - First question here, so please bear with me:
I would like to added lagged values to a rugarch-model, but have been
unable to find answers in the vignette.
Basic test-code:
require(rugarch)
require(quantmod)
x = runif(n = 1000, min = -5, max = 100)
ext.reg_lagged = cbind(Lag(x, k = 1), Lag(x, k = 2))
ext.reg = cbind(x + runif(n = 1000, min = 5, max = 20), x - runif(n = 1000,
min = 5, max = 15))
fit.spec <- ugarchspec(variance.model = list(model = "sGARCH",
garchOrder = c(1, 1)),
mean.model = list(armaOrder = c(3, 1),
include.mean = TRUE,
external.regressors =
ext.reg), # with ext.reg.lagged it does not work.
distribution.model = "sstd")
fit <- ugarchfit(data = x, spec = fit.spec, solver = "hybrid")
Now this works perfectly, but if I exchange the external.regressors =
ext.reg_lagged
it no longer works.
How can you do this in rugarch? Or do I need to try another package?
/Regards Lasse
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