[R-SIG-Finance] Seasonal GARCH

[Spencer Graves]

      The 'garch' function in the 'tseries' package can estimate a 
garch(0, 5) or garch(5, 0) model. 

      Hope this helps. 
      Spencer

Spencer Graves wrote:
>       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
>>
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