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07 Dec 2012 ARMAX-GARCH-K Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) ARMAX-GARCH-K Toolbox Author: Alexandros Gabrielsen

I am trying to use the GJR-GARCH specification with exogenous variables in variance equations. I found in garch.m, line_316, the column sequence of constraints matrix A (first: leverage, then, exogeneous y) is not the same as that of the starting values (0.5 for leverage, then 0 for y) and ublb. I guess they should match? Sorry if I am wrong. Could you please advice. Thanks very much.

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