[R] fGarch - Fitting and APARCH-Modell with fixed delta
a5462514 at nepwk.com
Wed Sep 28 12:59:44 CEST 2011
I'm trying to fit a GJR-GARCH Model using fGarch. I wanted to try that by
fitting an APARCH model with a fixed delta of 2 and a non-fixed gamma. So I
was simply trying to use:
spec <- garchFit(~aparch(1,1),data=garchSim(),delta=2)
And sometimes, it's working like a charm and delta is indeed exactly 2 in
the resulting coefficient vector.
Frequently, though, the resulting delta coefficient has some other value,
usually somewhere between 0 and 2.
Any ideas why? Am I doing something wrong or could this be a bug in fGarch?
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