[R-SIG-Finance] garchFit issue
jaimie villanueva
jaimie.villanueva at gmail.com
Tue May 22 12:45:20 CEST 2012
Hi
i'm trying to fit a garch model to my time series data whit the
function garchFit of package "fGarch"and i found that many times the
model fitted don't satisfy the constraint of (beta+alpha) <1. the
persistance
Could be a problem with the optimization algorithm?
I thought that if the function returned a result, it always be agree
with constraints.
any help are well received.
best
Jaimie
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