Splus Finmetrics Mgarch (1,1) mean equation

["Abhilash Sreekumar Nair" <abhilash@iitb.ac.in>]

Dear All,

I am trying to model conditional Capital Asset pricing model following
Giorgio DeSantis and Bruno Gerard (1997). I am using the mgarch function
of SPlus Finmetrics.

Now the Y (Rit)in my model consists of returns on N-1 risky assets and one
market portfolio (index). my model is:

Rit=d*Cov (Rit,Rmt)+ Et where Et ~ N(o,Ht)

and furhter Ht is parameterised as GARCH (1,1).

But SPlus finmetrics allows only for models of the type:

Rit=C+Et where Et ~ N(o,Ht)

My question is how to change the conditional mean equation in
SPlusFinmetrics while using mgarch function?

Thanking all in anticipation,

Abhilash S Nair