Message-ID: <1197475654.47600746b635f@webmail.oulu.fi>
Date: 2007-12-12T16:07:34Z
From: Veikko Leinonen
Subject: APARCH
Hi,
Could somebody say if it is possible to compute APARCH-models with garchFit
commands.
I have earlier used aaa (garchOxFit) and now I try to use bbb (look below)
aaa <-
garchOxFit(formula.mean=~arma(1,0),formula.var=~aparch(1,1),series=nyk,cond.dist=c('gaussian'))
bbb <- garchFit(formula=~arma(1,0)+aparch(1,1),data=nyk)
aaa works well, but I need other characteristics of garchFit and, therefore it
would be important to know what's wrong with my bbb command (the value of delta
is fixed to 2 and I get totally different coefficients than with aaa).
How should I write bbb to get similar answer than with aaa?
Thanks a lot,
Veikko