Seasonal GARCH
Hi Irma,
After reading the previous post, I think there is some confusion about
what parameters you want to estimate. So I hope I will not add more
confusion out there.
As far as I understand your question, you want to estimate a GARCH(5,0)
and keep all alpha parameters fixed in the optimisation except
alpha_{t-5}.
Currently in garchFit you can only fix the parameters of the conditional
distribution (include.skew, include.shape), the mean equation
(include.mean) and the delta of an APARCH model (include.delta).
We plan to add the ability to fix any parameters in the optimisation for
a future release.
best regards,
Yohan
Currently it is not possible to fix parameters
Spencer Graves <spencer.graves at pdf.com> writes:
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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