Hi,

 

This is my first post to the mailing list. In R, is it possible to evaluate
and ARMA(p,q)-GARCH(p',q') model, where some of the ARMA parameters are
fixed. For example, an AR(4)-GARCH(1,1) model, fixing the coefficients on
AR(2) and AR(3) to zero (subset ARMA mean equation)?

 

I have already looked at fGarch but there appears to be no feature to fix
parameter values (unlike in the separate arma/arima commands in R).

 

Thanks, Paul.


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