R中的MSGARCH包

在“rugarch”包中，garch规范如下所示：

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(), ...)

在这里，我可以在均值方程中指定外部回归

在马尔可夫交换garch包中，“msgarch”garch规范如下所示：

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()))

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我的问题是如何在马尔可夫转换garch模型中指定带有外部回归的均值方程？

MSGARCH包基于条件均值为零的假设，因此该模型必须由去均值时间序列构建。