[R-SIG-Finance] Seasonal GARCH

[markleeds at verizon.net]

>From: Spencer Graves <spencer.graves at pdf.com>
>Date: 2008/04/06 Sun PM 08:38:58 CDT
>To: ihernan at stat.berkeley.edu
>Cc: r-sig-finance at stat.math.ethz.ch
>Subject: Re: [R-SIG-Finance] Seasonal GARCH

I've never used garchFit but one other possibility
is to use the fact that an ARCH model of the volatility
is the same as an AR whatever on sigma squared
, with some subtle, slight differences that I can't
recall. So, using that relation, you may be
able to use an AR ( so one of the arima functions ) 
but be careful because it doesn't imply EXACTLY 
the same model but it's close. 

I forget which text talks about the close but no cigar relation but my guess is that it's in Hamilton's or Zivot's text.





>      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. 
>      Spencer
>
>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
>>
>> _______________________________________________
>> R-SIG-Finance at stat.math.ethz.ch mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. 
>> -- If you want to post, subscribe first.
>>
>
>_______________________________________________
>R-SIG-Finance at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>-- Subscriber-posting only. 
>-- If you want to post, subscribe first.