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ousia
2007 Dec 12
1
APARCH
Hi,
Could somebody say if it is possible to compute APARCH-models with garchFit
commands.
I have earlier used aaa (garchOxFit) and now I try to use bbb (look below)
aaa <-
garchOxFit(formula.mean=~arma(1,0),formula.var=~aparch(1,1),series=nyk,cond.dist=c('gaussian'))
bbb <- garchFit(formula=~arma(1,0)+aparch(1,1),data=nyk)
aaa works well, but I need other characteristics of