[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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