[S] garch models

Marie-Helene Durand (M-Helene.Durand@mpl.orstom.fr)
Mon, 02 Nov 1998 20:33:36 +0100


Hello,

I am using S+garch and I would like to estimate a Garch model with
exogeneous variables in the conditional variance equation.
These models are also called SDM (State Dependant Model) by Brunner and
Hess (Journal of Business and Satistics April 1993).
I have not found anything about that in the manual (september 96) and I
dont know if S+Garch can estimate these types of models apart from usual
symetric and asymetric garch models.
thanks a lot
Marie Hélène DURAND
ORSTOM-LEA
911, avenue Agropolis
BP. 5045
34032 Montpellier Cedex 1
Tel: 04 67 63 69 73 or from foreign countries: 33 4 67 63 69 73
Fax: 04 67 63 87 78 or from foreign countries: 33 4 67 63 87 78
e-mail: mdurand@mpl.orstom.fr
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