Hi,

I sent you an email concerning a possible bug in the predict function (in the fGarch package) yesterday. When I wanted to predict from an estimated APARCH model I got the following error:

Forecast APARCH Variance:
Error in f(x, ...) : object "fun" not found

I think I have just identified the problem in forecasting APARCH variance: the word "dnorm" in the kappa = garchKappa( ... ) is the troublemaker. I would suggest that the kappa assignment should be:

kappa = garchKappa(cond.dist = cond.dist, gamma = gamma[j], delta = delta, skew = skew, shape = shape)

since cond.dist is defined as: cond.dist = fit$params$cond.dist

Best regards

Michal Miklovic




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