question about the garchFit
Yohan Chalabi
chalabi at phys.ethz.ch
Fri Sep 5 13:02:55 CEST 2008
>>>> "PAD" == "Parra Amado Daniel" <dparraam at banrep.gov.co>
>>>> on Mon, 1 Sep 2008 17:37:12 -0500
PAD> My name is Daniel Parra, I'm economist and I'm studying time series
PAD> models for financial variables. I'm working in R with their package
PAD> (fGarch), which I found very interesting and useful.
PAD>
PAD> I would ask you please help me with the following question.
PAD>
PAD> How do I do to estimate a ARMA(6,1)-GARCH(1,1) without the coefficients
PAD> AR(1), AR(2), AR(3), AR(4) and AR(5)?
PAD>
PAD> For example, I've tried in this way,
PAD>
PAD> y = garchFit(~arma(6,1)+garch(1,1), r.IGBC, trace=F,cond.dist = "dnorm")
PAD>
PAD> and result is:
PAD>
PAD> Coefficient(s):
PAD> Mu 0.20950912
PAD> ar1 -0.27087286
PAD> ar2 0.06539889
PAD> ar3 -0.08086325 I don't want estimate these coefficients
PAD> ar4 0.00391767
PAD> ar5 0.05273713
PAD> ar6 -0.04344611
PAD> ma1 0.49958456
PAD> omega 0.44834015
PAD> alpha1 0.34024705
PAD> beta1 0.46750871
PAD>
PAD> According to the results above, you can see that the routine estimate
PAD> the coefficients AR (1) to AR (5), which I don't want in the model. How
PAD> do I restrict them on the code?.
PAD>
Hi Daniel,
in the current implementation you can not fix specific parameters in the optimization, which are in your case the coefficients AR(1)-AR(5).
regards,
Yohan
--
PhD student
Swiss Federal Institute of Technology
Zurich
www.ethz.ch
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