[Rd] garchFit (PR#10698)
chalabi at phys.ethz.ch
Tue Feb 5 12:53:25 CET 2008
>>>> "SYC" == scott.yonker at gmail.com
>>>> on Mon, 4 Feb 2008 23:35:07 +0100 (CET)
SYC> The garchFit function in the Rmetrics libray cannot estimate
SYC> ARCH models,
SYC> meaning that the number of beta terms in the model must be
SYC> greater than zero.
SYC> For this function neither p nor q can be set to zero without
SYC> an error. The
SYC> problem lies in both the specification of the objective function
SYC> and in the
SYC> function that determines the initial parameter estimates.
SYC> A simple if statement
SYC> setting alpha=0 if p=0 and beta=0 if q=0 (I don't remember
SYC> which is p or q I
SYC> might have these reversed) in both of these functions solves
SYC> the problem.
Thank you for this information. I will care about it.
But please use the Rmetrics core team list (rmetrics-core at r-project.org) to send
bugs related to Rmetrics.
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