Displaying 1 result from an estimated 1 matches for "garchinitparameters".
2008 Mar 24
0
ARCH(1,0) with t-residuals
Dear R users,
I need to estimate an ARCH(1,0) model with t-residuals. To do this I use garchFit
function from fGarch library. However, I get the following error message:
Error in.garchInitParameters (formula.mean = formula.mean, formula.var =
formula.var, ): object "alpha" not found
I tried to estimate this model with different series, but I always get this error message.
For example,
data(EuStockMarkets)
dax <- diff(log(EuStockMarkets))[,"DAX"]
g=garchFit(formula=~g...