Hi,

I think the value of delta could be restricted by "include.delta=FALSE". That is, a GJR GARCH model could be estimated by fit1 <- garchFit(~aparch(1,1), data = ret, delta = 2, include.delta = FALSE).
Please see the help file of the fGarch package. A new version of the package has recently been uploaded on CRAN.

Best regards,

Michal




________________________________
From: Jae Kim <jh8080@hotmail.com>
To: Michael Zak <michael@zak.li>; r-sig-finance@stat.math.ethz.ch
Sent: Thursday, October 30, 2008 9:42:07 PM
Subject: Re: [R-SIG-Finance] TGARCH

Hi,

fGarch package estimates APARCH model for which TGARCH is a special case. 
eg, fit1 <- garchFit(~aparch(1, 1), data = ret)

An APARCH model with delta=1 is TGARCH and delta=2 is GJR GARCH model.

But I do not know how to restrict the value of delta. 
Anyone can help?

--------------------------------------------------
From: "Michael Zak" <michael@zak.li>
Sent: Friday, October 31, 2008 6:18 AM
To: <r-sig-finance@stat.math.ethz.ch>
Subject: [R-SIG-Finance] TGARCH

> Hi there
> 
> Is there a solution how to use TGARCH in R? As far as I know, there is  no such function in R. With ARCH/GARCH I don't have a problem to find  and use it, but TGARCH?
> 
> Thank you, Michael Zak
> 
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