EGARCH notation w/ exogenous explanatory variables

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juxero
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Joined: Tue May 08, 2018 1:21 am

EGARCH notation w/ exogenous explanatory variables

Postby juxero » Tue May 08, 2018 8:10 am

Hello!

I am modelling an EGARCH model on financial returns in eVeiws with 5 different macroeconomic indicators as independent variables (enter both in mean and variance equation).
It is quite easy to find the standard notations, both for GARCH(1,1) and EGARCH(1,1), but Im struggling with how to correctly represent my regression on paper.

So my question is, how do I correctly add this/these term(s) to the equation (mean and variance equation) in written form?
All variables are transformed into log differences.

Any help would be appreciated.

Dep. variable: market returns
Indep. variables: CPI, GDP, UNEMP, M1, and IP

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