R devel - Feb 2008 - garchFit (PR#10698)

Full_Name: Scott Yonker
Version: R for OSX Cocoa
OS: Mac OSX
Submission from: (NULL) (24.208.185.211)


The garchFit function in the Rmetrics libray cannot estimate ARCH models,
meaning that the number of beta terms in the model must be greater than zero. 
For this function neither p nor q can be set to zero without an error.  The
problem lies in both the specification of the objective function and in the
function that determines the initial parameter estimates.  A simple if statement
setting alpha=0 if p=0 and beta=0 if q=0 (I don't remember which is p or q I
might have these reversed) in both of these functions solves the problem.

>>>> "SYC" == scott.yonker at gmail.com
>>>> on Mon,  4 Feb 2008 23:35:07 +0100 (CET)
   SYC> The garchFit function in the Rmetrics libray cannot estimate
   SYC> ARCH models,
   SYC> meaning that the number of beta terms in the model must be
   SYC> greater than zero.
   SYC> For this function neither p nor q can be set to zero without
   SYC> an error.  The
   SYC> problem lies in both the specification of the objective function
   SYC> and in the
   SYC> function that determines the initial parameter estimates.
   SYC> A simple if statement
   SYC> setting alpha=0 if p=0 and beta=0 if q=0 (I don't remember
   SYC> which is p or q I
   SYC> might have these reversed) in both of these functions solves
   SYC> the problem.

Hi Scott,

Thank you for this information. I will care about it.

But please use the Rmetrics core team list (rmetrics-core at r-project.org) to
send
bugs related to Rmetrics.

Regards,
Yohan