Hello dear sir
 
hope you will be fine
i need your help regarding fitting of GARCH model.I am using the package fGARCH for some of my simulations.I have a problem with it that is when I use the command garchFit for example      fit = garchFit(~arma(3,3)+garch(1,1), data) it fits me ARMA(3,3)+GRACH(1,1) model. but in my simulations the ARMA order is not fixed for each replication it is different.for example if i define p=1  where p is the order of autoregressive model and wants to fit
fit = garchFit(~arma(p,0)+garch(1,1), data) it gives me the error
[1] "data" "p"   
[1] "data"
Error in .garchArgsParser(formula = formula, data = data, trace = FALSE) : 
  Formula and data units do not match.
I would be grateful if you could help in fixing this problem.
Regards,
Amjad Ali


      
	[[alternative HTML version deleted]]

