GARCH estimation with exogenous variables

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Lasse Jakobsen 2011-9-18

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https://ww2.mathworks.cn/matlabcentral/answers/16088-garch-estimation-with-exogenous-variables

评论： simo borto 2016-2-20

Hi all

I am trying to estimate the parameters of the models proposed by D. Lien and L. Yang in their article Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets

The question is how i code a GARCH model with two exogenous variables. I seem not to be able to exploit the garchfit function as it takes in the returns series and not the estimated innovations which I already have?? And I can't use UGARCH as it doesn't take exogenous variables as inputs!? Does anyone have a solution to my problem?

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Lasse Jakobsen 2011-9-18

I don't think that is true Oleg. I have several text books that mentions that it is possible to add other explanatory variables to the variance equation. Among others "The Econometrics of Financial Markerts" by John Y. Campbell, Andrew W. Lo and A. Craig Mackinlay.

The question is just how to incorporate these in Matlab.

Please Help...

simo borto 2016-2-20