




I already thought on that way, but how do i forecast the ARIMA-GARCH model then?
 
Daniel
 
> Date: Sun, 7 Jun 2009 11:11:30 -0700
> From: ezivot@u.washington.edu
> To: d2009_@live.com.pt
> Subject: Re: [R-SIG-Finance] Fix ARMA parameters in garchfit
> 
> 
> The easy was is a two step method:
> 
> 1. fit the arma model and extract residuals
> 2. fit garch model on residuals from arma model.
> 
> ****************************************************************
> * Eric Zivot *
> * Professor and Gary Waterman Distinguished Scholar *
> * Department of Economics *
> * Adjunct Professor of Finance *
> * Adjunct Professor of Statistics
> * Box 353330 email: ezivot@u.washington.edu *
> * University of Washington phone: 206-543-6715 *
> * Seattle, WA 98195-3330 * *
> * www: http://faculty.washington.edu/ezivot *
> ****************************************************************
> 
> On Sun, 7 Jun 2009, Daniel Mail wrote:
> 
> >
> > Hello,
> >
> >
> >
> >
> >
> >
> >
> > For an example, i have a time series and i fitted an
> >
> > AR(2), with
> >
> > Fi1=.44119
> > Fi2=-.072952
> >
> >
> >
> > Now i would like to fit a GARCH to this model, but i don't know how to fix the arma parameters.
> >
> >
> >
> > I am trying to do it with garchfit
> >
> >
> >
> > garchFit(~arima(2,0,0)+garch(1, 1), data =x).
> >
> >
> >
> > but i really don't know how to fix some parameters here.
> >
> >
> >
> >
> >
> > thanks
> >
> >
> >
> >
> >
> > Daniel
> >
> > _________________________________________________________________
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> 
> 



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