Kevin Sheppard

xref #201

In principle two-step estimation works. The challenge is that when the model is estimated by MLE you get `nobs` residuals eventhough many of these might not be reliable at the...

I would welcome someone contributing an ARMA mean model. I would usually tell someone to use an AR to approximate an ARMA which usually works well unless the MA has...

What @dimab0 said is correct - there is not support for exogenous variance regressors in the current version.

I don't know much R package availability, and as far as I know there are none for Python. pyflux would be the other place to look. On Tue, Feb 21,...

In no particular order: * They aren't incredibly common in practice * General support for exogenous regressors can be more difficult to use to ensure variances stay > 0, unless...

PRs welcome 👍

It has not been coded in this toolbox and I haven't come across it.

I have not added exogenous regressors for volatility.

@camontanezp I think you are missing an argument to forecast. When I do the following: ``` from arch.univariate import HARX, HARCH, Normal params = {'lags': [11,14,20,22,28,30,32,37,47], 'volatility': HARCH([1]), 'dist': Normal()}...