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In a "rugarch" package garch specification looks like this: 

ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),
submodel = NULL, external.regressors = NULL, variance.targeting = FALSE),
mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, archm = FALSE,
archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE),
distribution.model = "norm", start.pars = list(), fixed.pars = list(), ...)

Here I can specify external regressors in mean equation.

In Markov switching garch package "msgarch" garch specification looks like this:

CreateSpec(variance.spec = list(model = c("sGARCH", "sGARCH")),
distribution.spec = list(distribution = c("norm", "norm")),
switch.spec = list(do.mix = FALSE, K = NULL), constraint.spec = list(fixed
= list(), regime.const = NULL), prior = list(mean = list(), sd = list()))

My question is how do I specify mean equation with external regressors in markov switching garch model?

Markoff Chainz
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1 Answers1

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The MSGARCH package is based on the assumption of zero conditional mean, hence the model has to be built of an de-meaned time series. MSGARCH

Anna
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