Hi,

I would like to put forward a change to APARCH variance forecasting in the fGarch predict function:

if (i-j > 0) {
   s = kappa * h[N + i - j]
} else {
   s = (abs(z[N + i - j]) - gamma[j]*z[N + i - j])^delta
}

I think this a better specification than the current 's = kappa' because if (i-j) <= 0, the values of z[N + i - j] are known and can be used to compute the prediction.

Best regards,

Michal Miklovic




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