Displaying 1 result from an estimated 1 matches for "fitr2".
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fit2
2011 May 04
1
fGarch
...A multivariate data set.
cov.ts.dq = cov.ts[1:4,"dq1"][!is.na(cov.ts[,"dq1"])]
cov.ts.day = ts.intersect(dq = diff(q.ts), day = lag(q.ts, -1))
### The following R scripts work:
(summary(no.day.fitr <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day)))
(summary(no.day.fitr2 <- garchFit(dq ~ arma(0,3) + garch(1,1), data = cov.ts.day,
include.mean=FALSE)))
### ERROR: I add in the regressor "day".
(summary(no.day.fitr3 <- garchFit(dq ~ day + arma(0,3) + garch(1,1), data = cov.ts.day,
include.mean=FALSE)))
### Error in .garchArgsParser(formula = formula...