GARCH: exogenous terms in ARMA and Conditional Variance equations

Hi,

Is there a way, using the Matlab libraries, to include exogenous regressors in the conditional mean and conditional variance parts of a GARCH model. I can currently see the configuration to add this to the conditional mean part, but NOT the conditional variance part. If Matlab is currently not supporting exogenous regressors in the conditional variance part, why? Is anyone aware of a Matlab solution without calling some other library in R or having to re-write the code one-self?

Answer 1

[Sarah Mohamed]

Hello Matthew,

It looks like this functionality isn't currently available. I work for the MathWorks and will share your request with the team so that they may consider making improvements to the product in the future.

Thanks!