[R-SIG-Finance] Seasonal GARCH

Spencer Graves spencer.graves at pdf.com
Mon Apr 7 03:38:58 CEST 2008

      The last I checked, garchFit could not estimate a model with zero 
for either of the garch lag parameters. 

      The expert on current and planned garchFit capabilities is Yohan 
Chalabi, and I've copied him on this reply.  Unless you hear otherwise 
from him, I think it is best to assume that you can fit any garch(i, j) 
model you want as long as both i and j are strictly positive. 

      I'm sorry I couldn't be more helpful. 

ihernan at stat.berkeley.edu wrote:
> 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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