GARCH-M implementation

[Alessiobrini]

Is it possible to estimate (G)ARCH-M variants with this toolbox? I am an extensive arch package user, but maybe I am missing something from the documentation.

With some effort, one could maybe implement GARCH-M, but I am wondering if I could produce the same effect by simply:

• Estimate a GARCH-like model as those implemented in the toolbox,
• Take the conditional volatility and regress it against the same return one uses to estimate the former. The resulting coefficient should resemble the GARCH-M effect.

If this holds, it should be stated in the documentation to help future users.

[bashtage]

It is available: https://bashtage.github.io/arch/univariate/generated/arch.univariate.ARCHInMean.html#arch.univariate.ARCHInMean

[Alessiobrini]

I was guiltily reading a version deprecated of the documentation. I'm sorry for that. Thank you for the amazing job done with this package.

[bashtage]

Great.