Hello,
I would be very grateful if somebody (or everybody:)) answers my question. I
am making ARMA-GARCH model with garchFit function and want in arma part make
lag list (like with arma models:
model=arma(data, lag=list(ar=c(2,6),ma=NULL), include.intercept=FALSE)
but I don't know how to do it in garchFit function. I tried it this way:
> mmm1=garchFit(formula~arma(lag=list(ar=c(2,6),ma=NULL))+garch(1,1),data=grazos1,cond.dist=c("std"),
> include.mean=FALSE,include.skew=TRUE)
Error in if (u < 0 | v < 0) stop("*** ARMA orders must be positive.") :
missing value where TRUE/FALSE needed
In addition: Warning message:
In .garchInitSeries(formula.mean = formula.mean, formula.var = formula.var,
:
NAs introduced by coercion
but as you see only have got error. So is it possible to do and if it is,
then how?
thanks in advance,
J
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