Hello, I am trying to re-estimate parameters and standard errors in a mean regression equation by simultaneously running a GARCH (1,1) variance equation. This should be relatively straightforward, but I cannot for the life of me get it to work. This has taken up several weeks of my life already. My mean equation is this: dlm2A1A<-lm(A1.0-rSP_RI.0~rSP_RI.0+inter.0+interdev.1+inter.1+interdev.2+inter.2+interdev.3+inter.3+interdev.4 I'm fairly sure I need to use the uGARCHspec function and have adpoted this: ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1), submodel = NULL, external.regressors = NULL, variance.targeting = FALSE), mean.model = list(armaOrder = c(1, 1), include.mean = TRUE, archm = TRUE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex = FALSE), distribution.model = "norm", start.pars = list(), fixed.pars = list()) How to correctly input the mean equation in the 'external.regressors=' parameter is beyond me. Also, I don't know where my actual data fits in here as this is just a framework without any identification of the data. Can anyone help? Drew [[alternative HTML version deleted]]