From chalabi at phys.ethz.ch  Tue Feb  5 12:53:25 2008
From: chalabi at phys.ethz.ch (Yohan Chalabi)
Date: Tue, 5 Feb 2008 12:53:25 +0100
Subject: [Rd] garchFit (PR#10698)
In-Reply-To: <20080204223507.83F9D282EFF0@mail.pubhealth.ku.dk>
References: <20080204223507.83F9D282EFF0@mail.pubhealth.ku.dk>
Message-ID: <20080205125325.087ec83f@yankee-laptop>

>>>> "SYC" == scott.yonker at gmail.com
>>>> on Mon,  4 Feb 2008 23:35:07 +0100 (CET)

   SYC> The garchFit function in the Rmetrics libray cannot estimate
   SYC> ARCH models,
   SYC> meaning that the number of beta terms in the model must be
   SYC> greater than zero.
   SYC> For this function neither p nor q can be set to zero without
   SYC> an error.  The
   SYC> problem lies in both the specification of the objective function
   SYC> and in the
   SYC> function that determines the initial parameter estimates.
   SYC> A simple if statement
   SYC> setting alpha=0 if p=0 and beta=0 if q=0 (I don't remember
   SYC> which is p or q I
   SYC> might have these reversed) in both of these functions solves
   SYC> the problem.

Hi Scott,

Thank you for this information. I will care about it.

But please use the Rmetrics core team list (rmetrics-core at r-project.org) to send
bugs related to Rmetrics.

Regards,
Yohan



[Rd] garchFit (PR#10698)
Yohan Chalabi