Is it possible to introduce dummy variables or explanatory variables in the GARCH variance equation (garchset and garchfit) in Matlab?

This is done in the mean (ARMAX) equation through the input Regress in garchset, but I have not seen how it can be done for the variance equation as well. So how can I find a closed form solution to do it? I will appreciate any advice on the question.

  • $\begingroup$ I am not sure about Matlab but this is possible in R using package "rugarch". Use function ugarchspec and supply the exogenous regressors to the argument external.regressors inside the argument variance.model. $\endgroup$ – Richard Hardy Feb 26 '16 at 16:38

To the best of my knowledge there is no public implementation in matlab. However both R and Ox have some packages devoted to this end :

-Ox - see G@rch package

-R - see rugarch package

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