From veleinon at mail.student.oulu.fi  Wed Dec 12 17:07:34 2007
From: veleinon at mail.student.oulu.fi (Veikko Leinonen)
Date: Wed, 12 Dec 2007 18:07:34 +0200
Subject: [Rd] APARCH
Message-ID: <1197475654.47600746b635f@webmail.oulu.fi>


Hi, 

Could somebody say if it is possible to compute APARCH-models with garchFit
commands. 

I have earlier used aaa (garchOxFit) and now I try to use bbb (look below) 

aaa <-
garchOxFit(formula.mean=~arma(1,0),formula.var=~aparch(1,1),series=nyk,cond.dist=c('gaussian'))


bbb <- garchFit(formula=~arma(1,0)+aparch(1,1),data=nyk) 

aaa works well, but I need other characteristics of garchFit and, therefore it
would be important to know what's wrong with my bbb command (the value of delta
is fixed to 2 and I get totally different coefficients than with aaa). 

How should I write bbb to get similar answer than with aaa? 

Thanks a lot,

Veikko



[Rd] APARCH
Veikko Leinonen