[R-SIG-Finance] rugarch package

[alexios]

The only way to achieve this is to set the coefficients of lags 2 and 3 
to zero using the 'fixed.pars' option,
i.e. ugarchspec(mean.model = list(armaOrder=c(4,0)), 
fixed.pars=list(ar2=0,ar3=0)).
Fixed parameters are excluded during the calculation of standard errors 
unless you specify otherwise
in the ugarchfit 'fit.control' option.

In future please observe some measure of mail etiquette by signing your 
email with your name.

Regards,
Alexios

On 11/02/12 08:21, ecsniffer林娟 wrote:
> In mean.model of ugarchspec function, if I set armaOrder=c(4,0), it will include all of the 4 lags in the AR model. My question is whether I can just include the first lag and the fourth lag? that is, Is it O.K. for me to spefify the given lag terms?
>    		 	   		
> 	[[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.