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.
garchFit (PR#10698)
2 messages · scott.yonker at gmail.com, Yohan Chalabi
"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. Hi Scott, 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. Regards, Yohan