Hi,

I would like to ask if it is possible to fix arma coefficients in garch estimation. I can estimate an arma model with only ma(1) and ma(3) terms and without constant in the following way:

armamodel <- armaFit(~ ma(3), data, include.mean=FALSE, fixed=c(NA,0,NA))

Diagnostic tests show that there a is a garch process in the residuals. Therefore, I would like to estimate a garch model with ma(1) and ma(3) terms and no constant in the mean equation. Does anybody know if it is possible? Apparently, the garchFit function does not allow fixing arma coefficients in the mean equation...

Thanks for answers and suggestions.

Best regards


Michal Miklovic




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