想用rugarch包,在均值方程里加入外生变量,做异常值处理,应该怎么做呢?以下代码有报错:Error: unexpected ',' in "mean.model = list(armaOrder=c(0,0),include.mean=TRUE,external.regressors=cbind(r.stock,1)),"请问该如何修改呢?
我的代码如下
library(rugarch)
model<-ugarchspec(variance.model = list(model="sGARCH",garchOrder=c(1,1),external.regressors=NULL), #方差方程为GARCH(1,1)
mean.model = list(armaOrder=c(0,0),include.mean=TRUE,external.regressors=cbind(r.stock,1)), #均值方程为ARMA(0,0)
distribution.model = "norm") #服从正态分布
modelfit<-ugarchfit(spec=model,data=r.stock)
modelfit
谢谢!