[R-SIG-Finance] Seasonal GARCH

[chalabi at phys.ethz.ch]

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

As far as fGarch is concerned, I refer you to my previous post on this
matter (https://stat.ethz.ch/pipermail/r-sig-finance/2008q1/002241.html).

regards,
Yohan

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

>       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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