title: In R, how to add an external variable to an ARIMA model?
body: <p>Does anyone here know how I can specify additional external variables to an ARIMA model ?</p>
  
  <p>In my case I am trying to make a volatility model and I would like to add the squared returns to model an ARCH.</p>
  
  <p>The reason I am not using GARCH models, is that I am only interested in the volatility forecasts and the GARCH models present their errors on their returns which is not the subject of my study.</p>
  
  <p>I would like to add an external variable and see the R^2 and p-values to see if the coefficient is statistically significant.</p>