Hi,

I wanted to estimate a garch-gjr model without leverage (which is, in fact, a garch model) using the following code:

arma11gjr11n <- garchFit(~ arma(1,1) + aparch(1,1), data, delta=2,
            include.delta=FALSE, leverage=FALSE, algorithm="nlminb", hessian="rcd")
summary(arma11gjr11n)

and obtained the following error:

--- START OF TRACE ---

R coded nlminb Solver: 

Error in gamma[i] : object is not subsettable


I would suggest to copy the below line from .garchInitParameters into .garchLLH:

if(p > 0 & !leverage) gamma = rep(0, times = p)

I tried this, recompiled the fGarch package and it worked fine.


Best regards,

Michal Miklovic






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