extending cond. var. equation in GARCH-type models

Dear community

Is there any way to include additional regressors in the conditional variance equations for the GARCH, EGARCH and GJR "Variance Models" supported by the Econometric Toolbox.

There´s a way to include such regressors in the conditional mean, but I haven´t seen anything abt the conditional variance.

Many, many thxs

Jaoc

Answer 1

[Oleg Komarov]

No.

I asked the same question some time ago ( http://www.mathworks.com/matlabcentral/answers/3996-egarch-1-1-with-an-additional-term-in-the-conditional-variance-specification ) which remains unreplied and also posted about it somewhere else here on the forum.