Dear all, I need to estimate the coefficients of an APARCH that fits some dataset. I have found to functions : * garchFit(formula=~aparch(1,1),...) from the fGarch package * GSgarch.FitAIC(mMAX = 0, nMAX = 0, pMAX = 1, qMAX = 1, ...) from the GEVStableGarch package The problem is that they gave me different coefficients for the same dataset. Does anyone know the difference between the two and which one should I use ? Thanks in advance for your answer Sophie O. -- View this message in context: http://r.789695.n4.nabble.com/APARCH-models-tp4710819.html Sent from the R help mailing list archive at Nabble.com.
APARCH models
1 message · SophieO