[R] garchFit

[Filippo Monari]

Hi,
I'm using "garchFit" function from packages fGarch, to fit some nose.
The weird thing is that in some cases the estimate for the alpha1 
coefficient is equal to 1, which can't be otherwise the model is not stable.
Even more alpha1 = 1 makes impossible to simulate the model.
My model is an ARMA(1,5)/GARCH(2,0), could be a probelm coused by 
overfitting? All my parameters seems to be significant...
Can anyone help me to undestand way this is happening?
Below there is the output from the function.
Thanks in advance , regards,
Filippo.

This is the output from the function:
Title:
GARCH Modelling

Call:
garchFit(formula = ~arma(1, 5) + garch(2, 0), data = Text.noise,
trace = F)

Mean and Variance Equation:
data ~ arma(1, 5) + garch(2, 0)
<environment: 0xca9e848>
[data = Text.noise]

Conditional Distribution:
norm

Coefficient(s):
mu ar1 ma1 ma2 ma3 ma4
-7.9290e-15 -4.1513e-01 -1.0000e+00 -6.4137e-01 5.0686e-01 2.0932e-01
ma5 omega alpha1 alpha2
-6.1404e-02 9.2491e-04 1.0000e+00 1.0000e+00

Std. Errors:
based on Hessian

Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -7.929e-15 2.185e-05 0.000 1
ar1 -4.151e-01 2.091e-02 -19.851 < 2e-16 ***
ma1 -1.000e+00 1.996e-02 -50.088 < 2e-16 ***
ma2 -6.414e-01 3.833e-02 -16.732 < 2e-16 ***
ma3 5.069e-01 2.807e-02 18.056 < 2e-16 ***
ma4 2.093e-01 1.457e-02 14.369 < 2e-16 ***
ma5 -6.140e-02 1.345e-02 -4.567 4.96e-06 ***
omega 9.249e-04 1.093e-04 8.460 < 2e-16 ***
alpha1 1.000e+00 8.741e-02 11.441 < 2e-16 ***
alpha2 1.000e+00 7.845e-02 12.747 < 2e-16 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Log Likelihood:
1359.009 normalized: 1.014943

Description:
Wed Oct 23 17:15:30 2013 by user: