search for: garchinitparameters

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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...