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

[Jean-Christophe BOUËTTÉ]

Hi there,
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 ?

JC

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)
> coef(spec)
>
> 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.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>