Full_Name: Scott Yonker Version: R for OSX Cocoa OS: Mac OSX Submission from: (NULL) (24.208.185.211)
The garchFit function in the Rmetrics libray cannot estimate ARCH models, meaning that the number of beta terms in the model must be greater than zero. For this function neither p nor q can be set to zero without an error. The problem lies in both the specification of the objective function and in the function that determines the initial parameter estimates. A simple if statement setting alpha=0 if p=0 and beta=0 if q=0 (I don't remember which is p or q I might have these reversed) in both of these functions solves the problem. ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
