[R-SIG-Finance] ARMA(m,n)-APARCH(p,q)
Citta Francesco
fcitta at inwind.it
Sun Nov 19 15:10:18 CET 2006
Dear Listers,
I am working with cac40 time series data (from 03-01-2000 to 08-11-2006). I
estimated, with successful, a simple ARMA(6,0)-GARCH(1,1) but I think tha it
is better an ARMA(6,0)-TGARCH(1,1).
For this I used the garchFit() function , setting:
garchFit(formula.var=~arma(6,0),formula.var=~aparch(1,1),series=cac,delta=2,
cond.dist="dnorm",include.delta=FALSE)
I obtain a strange value of gamma1 (1) ,I think that it wrong, the expected
value would be near 0.12, and the ARCH sign is positive instead of negative.
How can solve this problem?
Are you able to say me where I mistaked?
Best regards.
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