Estimation and Exogenous Covariate Selection for ARCH-m(X), Additive ARCH-m(x), and GARCH-X Models

Estimates the parameters and nonparametric functions of an ARCH-m(X) model with exogenous covariates, estimates the parameters and nonparametric functions of an Additive ARCH-m(X) model with exogenous covariates, estimates the parameters of a GARCH-X model with exogenous covariates, performs hypothesis tests for the covariates returning the p-values, and performs stepwise variable selection on the exogenous covariates, and uses False Discovery Rate p-value corrections to select the exogenous variables.