How do I fit a GARCH model with leverage effect as well as additional explanatory variables using ARCHModels.jl library? I can’t find any documentation about this in:
https://s-broda.github.io/ARCHModels.jl/stable/
Believe what you are looking for is the Regression option for the meanspec
https://s-broda.github.io/ARCHModels.jl/dev/univariatetypehierarchy/#meanspec
Ok, I’ll try it. if it works, I’ll compare the result with rugarch package from R