[Rd] garchFit (PR#10698)
scott.yonker at gmail.com
scott.yonker at gmail.com
Mon Feb 4 23:35:07 CET 2008
Full_Name: Scott Yonker
Version: R for OSX Cocoa
OS: Mac OSX
Submission from: (NULL) (24.208.185.211)
The garchFit function in the Rmetrics libray cannot estimate ARCH models,
meaning that the number of beta terms in the model must be greater than zero.
For this function neither p nor q can be set to zero without an error. The
problem lies in both the specification of the objective function and in the
function that determines the initial parameter estimates. A simple if statement
setting alpha=0 if p=0 and beta=0 if q=0 (I don't remember which is p or q I
might have these reversed) in both of these functions solves the problem.
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