[R-SIG-Finance] Seasonal GARCH

[Eric Zivot]

You must be careful here. A garch(0,5) model is not identified. If all of the ARCH coefficients are zero then the model is not a conditional heteroskedastic model. Volatility is constant in this case.

****************************************************************
*  Eric Zivot                  			               *
*  Professor and Gary Waterman Distinguished Scholar           *
*  Department of Economics                                     *
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*  University of Washington    phone:  206-543-6715            *
*  Seattle, WA 98195-3330                                      *                                                           *
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On Sun, 6 Apr 2008, Spencer Graves wrote:

>      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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>>
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