fGarch predict

Hi Spencer,

I checked this morning your issue with garch(1,0). 

In fGarch package the conditional variance of the GARCH(p,q) is defined as

  \sigma_t^2  =  \omega 
                  + \sum_{i=1}^p \alpha_i \epsilon_{t-i}^2
                  + \sum_{j=1}^q \beta_j \sigma_{t-j}^2

When the order q of this GARCH model is zero, the model is reduced to the
ARCH(p) model. But when the order p is zero, the model is
ill-specified (i.e p > 1).

It is normal that garch(0,1) fails. But there is indeed a problem in the case
garch(1,0). I made the appropriate changes to the dev-version of Rmetrics
to make it work and I added an error message when p is set to zero.

thanks for your feedback,
Yohan

and I made the
appropriate change to the dev-version of Rmetrics. 
But in the case garch(0,1) is normat that it fails.

Spencer Graves <spencer.graves at pdf.com> writes:

fGarch predict

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