pyflux icon indicating copy to clipboard operation
pyflux copied to clipboard
verified publisher icon RJT1990

Exogenous regressors for viola model

Open metiltyou opened this issue 4 years ago • 0 comments

Hi, I was wondering if it is possible to include exogenous regressors in (E)GARCH vola models. Since I've seen that it is possible for in mean models (for example the beta t EGARCH), it may also work with vola models? Thank you!

metiltyou avatar Mar 25 '21 10:03 metiltyou