[R] fGarch - Fitting and APARCH-Modell with fixed delta

Bogey a5462514 at nepwk.com
Wed Sep 28 12:59:44 CEST 2011

Hi there,

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?

View this message in context: http://r.789695.n4.nabble.com/fGarch-Fitting-and-APARCH-Modell-with-fixed-delta-tp3850702p3850702.html
Sent from the R help mailing list archive at Nabble.com.

More information about the R-help mailing list