[R-SIG-Finance] Seasonal GARCH

chalabi at phys.ethz.ch chalabi at phys.ethz.ch
Mon Apr 7 16:46:58 CEST 2008

Hi Irma,

After reading the previous post, I think there is some confusion about
what parameters you want to estimate. So I hope I will not add more
confusion out there.

As far as I understand your question, you want to estimate a GARCH(5,0)
and keep all alpha parameters fixed in the optimisation except

Currently in garchFit you can only fix the parameters of the conditional
distribution (include.skew, include.shape), the mean equation
(include.mean) and the delta of an APARCH model (include.delta).

We plan to add the ability to fix any parameters in the optimisation for
a future release.

best regards,

Currently it is not possible to fix parameters

Spencer Graves <spencer.graves at pdf.com> writes:

>      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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