Seasonal GARCH
You must be careful here. A garch(0,5) model is not identified. If all of the ARCH coefficients are zero then the model is not a conditional heteroskedastic model. Volatility is constant in this case. **************************************************************** * Eric Zivot * * Professor and Gary Waterman Distinguished Scholar * * Department of Economics * * Box 353330 email: ezivot at u.washington.edu * * University of Washington phone: 206-543-6715 * * Seattle, WA 98195-3330 * * * www: http://faculty.washington.edu/ezivot * ****************************************************************
On Sun, 6 Apr 2008, Spencer Graves wrote:
The 'garch' function in the 'tseries' package can estimate a
garch(0, 5) or garch(5, 0) model.
Hope this helps.
Spencer
Spencer Graves wrote:
The last I checked, garchFit could not estimate a model with zero
for either of the garch lag parameters.
The expert on current and planned garchFit capabilities is Yohan
Chalabi, and I've copied him on this reply. Unless you hear otherwise
from him, I think it is best to assume that you can fit any garch(i, j)
model you want as long as both i and j are strictly positive.
I'm sorry I couldn't be more helpful.
Spencer
ihernan at stat.berkeley.edu wrote:
I am trying to use the library(fGarch) and fit a GARCH model but I am
interested in fitting a ARCH for the volatility.
If I use ~GARCH(5,0) then 5 autoregressive parameters are fitted but I am
just interested in the a_{t-5}^2 parameter. Is there any way I could
obtain this model using the function library(fGarch).
Thank you Irma
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