[R] fGarch - Fitting and APARCH-Modell with fixed delta

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

Re: [R] fGarch - Fitting and APARCH-Modell with fixed delta

Hi there, an answer from someone who's not an expert in the field but used to play around with time series: The action of simulating a process using with input parameters then estimating the parameters is not an invariant, especially when the process involves nonlinearities. Did you try