[R] fGarch - Fitting and APARCH-Modell with fixed delta
jcbouette at gmail.com
Wed Sep 28 19:07:22 CEST 2011
an answer from someone who's not an expert in the field but used to
play around with time series:
The action of simulating a process using with input parameters then
estimating the parameters is not an invariant, especially when the
process involves nonlinearities.
Did you try increasing simulation length and the burn-in to see if you
get more stable results ?
2011/9/28 Bogey <a5462514 at nepwk.com>:
> 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
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