Message-ID: <22016564.post@talk.nabble.com>
Date: 2009-02-14T20:24:55Z
From: Ted Young
Subject: How to fit GARCH(1,1) with targeted unconditional variance?
Hello,
I have a univariate data set, and the unconditional variance is 1. I would
like to fit a GARCH(1,1) model to the data set with a constraint: \omega
(the constant parameter in GARCH(1,1)) is equal to 1-\alpha-\beta. So the
unconditional variance can be controled to be \omega /(1-\alpha-\beta) = 1.
I was using garchFit (fGARCH package) but did not find the way to control.
Any help?
Thanks a lot!!
Ted
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