[R-SIG-Finance] TGARCH

Jae Kim jh8080 at hotmail.com
Thu Oct 30 21:42:07 CET 2008


fGarch package estimates APARCH model for which TGARCH is a special case. 

eg, fit1 <- garchFit(~aparch(1, 1), data = ret)

An APARCH model with delta=1 is TGARCH and delta=2 is GJR GARCH model.

But I do not know how to restrict the value of delta. 

Anyone can help?

From: "Michael Zak" <michael at zak.li>
Sent: Friday, October 31, 2008 6:18 AM
To: <r-sig-finance at stat.math.ethz.ch>
Subject: [R-SIG-Finance] TGARCH

> Hi there
> Is there a solution how to use TGARCH in R? As far as I know, there is  
> no such function in R. With ARCH/GARCH I don't have a problem to find  
> and use it, but TGARCH?
> Thank you, Michael Zak
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