From scott.yonker at gmail.com  Mon Feb  4 23:35:07 2008
From: scott.yonker at gmail.com (scott.yonker at gmail.com)
Date: Mon,  4 Feb 2008 23:35:07 +0100 (CET)
Subject: [Rd] garchFit (PR#10698)
Message-ID: <20080204223507.83F9D282EFF0@mail.pubhealth.ku.dk>

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.



[Rd] garchFit (PR#10698)
scott.yonker at gmail.com