Hi there, I'm trying to fit a GJR-GARCH Model using fGarch. I wanted to try that by fitting an APARCH model with a fixed delta of 2 and a non-fixed gamma. So I was simply trying to use:
spec <- garchFit(~aparch(1,1),data=garchSim(),delta=2) coef(spec) And sometimes, it's working like a charm and delta is indeed exactly 2 in the resulting coefficient vector. Frequently, though, the resulting delta coefficient has some other value, usually somewhere between 0 and 2. Any ideas why? Am I doing something wrong or could this be a bug in fGarch? -- View this message in context: http://r.789695.n4.nabble.com/fGarch-Fitting-and-APARCH-Modell-with-fixed-delta-tp3850702p3850702.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
