[R-SIG-Finance] rugarch package
alexios at 4dscape.com
Sat Feb 11 10:25:28 CET 2012
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 parameters are excluded during the calculation of standard errors
unless you specify otherwise
in the ugarchfit 'fit.control' option.
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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?
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