Displaying 1 result from an estimated 1 matches for "060ec530".
2011 Jul 27
0
problems with predict in fGarch
...non-stationary AR part from CSS
Does anybody know what can be the reason of this error? The model I have
estimated is the following:
Title:
GARCH Modelling
Call:
garchFit(formula = fmla, data = X[, i], trace = F)
Mean and Variance Equation:
data ~ arma(2, 2) + garch(1, 1)
<environment: 060ec530>
[data = X[, i]]
Conditional Distribution:
norm
Coefficient(s):
mu ar1 ar2 ma1 ma2 omega
alpha1 beta1
-0.00079014 0.44934211 0.64374977 -0.46541382 -0.23879607 0.00028933
0.52056245 0.00000001
Std. Errors:
based o...