Hello there,
Im fitting AR-GARCH model to data and then estimate the coefficients using the
fGARCH version 2.15 package in R. The AR model have the terms AR(1), AR(5),
AR(20) and AR(60). My GARCH model is a simple GARCH(1,1).The GARCH part is fine
AR model then looks like: r_t= a_0+a_{1}r_{t-5}+a_{2}r_{t-20}+a_{3}r_{t-60}+e_t.
This is the code I used.
> fit=garchFit(formula = ~arma(1,
> 0)+arma(5,0)+arma(20,0)+arma(60,0)+garch(1,1),data=net,cond.distribution="std")
Error in .garchArgsParser(formula = formula, data = data, trace = FALSE) :
object 'formula.mean' not found
> fit=garchFit(formula
> ~arma(1,0)+arma(5,0)+arma(20,0)+arma(60,0)+garch(1,1),data=net,include.mean="TRUE",cond.distribution="std")
Error in .garchArgsParser(formula = formula, data = data, trace = FALSE) :
object 'formula.mean' not found
ANY help is appreciated
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