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?
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