In this demo, we retrieve the historical data of S&P500, remove missing data, and convert them into timetable format. Following, we used Econometric Modeler App to fit 3 GARCH models: GARCH(1,1), EGARCH(1,1), and GJR(1,1). Lastly, we showed how to perform simulation and forecasting using the selected GARCH model.
Unfortunately, our GARCH framework does not support GARCH-in-mean specification.
Sorry, I have just seen your question. I will ask someone in my econometrics team to get the answer shortly.
How can i implement GARCH in Mean model with dummy variable in conditional variable equation?