A GARCH-X driver: x_t ≥ 0 for every return (an implied or realised variance, say), entering s_{t+1} as δ·x_t, and the x_{−1} the recursion starts from (exogenousBackcast).
exogenousBackcast
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A GARCH-X driver: x_t ≥ 0 for every return (an implied or realised variance, say), entering s_{t+1} as δ·x_t, and the x_{−1} the recursion starts from (
exogenousBackcast).