Fits a GARCHX model with given data and estimates the coefficients for omega, alpha, beta, and pi
GARCHX(
eps,
X,
order = c(1, 1),
delta = 2,
optim.method = "NR"
)An object of class GARCHX
Time series
Matrix with exogenous covariates where the number of rows is equal to the length of eps
Order of the GARCH model. Value of p cannot be 0
Value of the power of the main time series to allow for Power GARCHX, default is 2 for GARCHX
Optimization method for maximizing quasi-likelihood function. Options: "NR", "L-BFGS-B", "GA", "PS", "SA". Default value is "NR"
Uses the GARCHX model $$\mathcal{E}_t = \sigma_tw_t$$ $$\sigma^2_t = \omega_0 + \sum^{p}_{i=1}\alpha_i\mathcal{E}_{t-i}^2 + \sum^q_{j=1}\beta_j\sigma^2_{t-j}+\mathbf{\pi}^T\mathbf{x}_{t-1}$$
To estimate the coefficients for $$\omega, \alpha, \beta, \pi$$. No variable selection is done in this function.