Hi spec<-ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1), submodel = NULL, external.regressors = NULL, variance.targeting FALSE), mean.model = list(armaOrder=c(0,0),include.mean = FALSE, archm FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL, archex FALSE), distribution.model = "norm", start.pars = list(), fixed.pars list()) I am little bit confused about the sub model. model: eGARCH + submodel:GARCH = GARCH ? model :eGARCH+ submodel:gjrGARCH = GJRGARCH ? or model:sGARCH+ submodel:gjrGARCH = GJRGARCH ? or model: eGARCH + submodel: GARCH + distribution.model: std = GARCH-student t ? Please let me know whether my opinion is right or not. Regards, Serdar -- View this message in context: http://r.789695.n4.nabble.com/rugarch-with-sub-models-tp4441639p4441639.html Sent from the R help mailing list archive at Nabble.com.