programming GARCH(1,1) with an exogeneous variable

[katyajas]

Hello again,

Could soemone please help on programming GARCH(1,1) and adding an exogeneous variable?
I do the following:

matrix(31,3) garchest_n
matrix(31,3)
for !i=01 to 31
equation eq{!i}.arch(1,1) tr{!i} c
garchest_n(!i,1)=c(3)
garchest_n(!i,2)=c(4)
garchest_n(!i,3)=c(5)


next

[trubador]

You can add exogenous variables into your mean equation just like the constant. For variance regressors you'll have to put "@" sign after the mean equation followed by your exogenous variables. For example: equation eq{!i}.arch(1,1) tr{!i} c xm @ xv

[katyajas]

Many thanks for your help. It worked fine. :)