[R-SIG-Finance] Seasonal GARCH

ihernan at stat.Berkeley.EDU ihernan at stat.Berkeley.EDU
Sun Apr 6 23:19:34 CEST 2008

I am trying to use the library(fGarch) and fit a GARCH model but I am
interested in fitting a ARCH for the volatility.
If I use ~GARCH(5,0) then 5 autoregressive parameters are fitted but I am
just interested in the a_{t-5}^2 parameter. Is there any way I could
obtain this model using the function library(fGarch).

Thank you Irma

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