External regressors in the volatility process of a GARCH.

How do I estimate a GARCH model with external regressors in the conditional variance process?

Answer 1

[Shashank Prasanna]

You can include exogenous inputs to the arima model (arimax) with a garch variance model:

mdl = arima('AR',0.2,'D',1,'MA',0.3,'Beta',0.5,'Variance',garch(1,1))

Exogenous variables for garch model in not supported as far as I know.