[R] ARCH(1,0) with t-residuals

From: Elena M. <helen_m_at_inbox.lt>
Date: Mon, 24 Mar 2008 16:13:17 +0200


Dear R users,

I need to estimate an ARCH(1,0) model with t-residuals. To do this I use garchFit function from fGarch library. However, I get the following error message: Error in.garchInitParameters (formula.mean = formula.mean, formula.var = formula.var, ): object "alpha" not found I tried to estimate this model with different series, but I always get this error message. For example,

data(EuStockMarkets)
dax <- diff(log(EuStockMarkets))[,"DAX"] g=garchFit(formula=~garch(0,1),data=dax,cond.dist="dstd",include.mean=FALSE)

Series Initialization:

 ARMA model:                arma
 Formula mean:              ~ arma(0, 0)
 GARCH model:               garch
 Formula var:               ~ garch(0, 1)
 ARMA Order:                0 0
 Max ARMA Order:            0
 GARCH Order:               0 1
 Max GARCH Order:           1
 Maximum Order:             1
 h.start:                   2
 llh.start:                 1
 Length of Series:          1859
 Recursion Init:            mci
 Series Scale:              0.01030084

Error in .garchInitParameters(formula.mean = formula.mean, formula.var = formula.var, :
  object "alpha" not found

If I use GARCH(0,1) model I get the following error message:

g=garchFit(formula=~garch(0,1),data=dax,cond.dist="dstd",include.mean=FALSE) Series Initialization:

 ARMA model:                arma
 Formula mean:              ~ arma(0, 0)
 GARCH model:               garch
 Formula var:               ~ garch(1, 0)
 ARMA Order:                0 0
 Max ARMA Order:            0
 GARCH Order:               1 0
 Max GARCH Order:           1
 Maximum Order:             1
 h.start:                   2
 llh.start:                 1
 Length of Series:          1859
 Recursion Init:            mci
 Series Scale:              0.01030084

Error in sum(beta) : invalid 'type' (closure) of argument

Do fGarch function allow to estimate GARCH(p,q) with p and q >0 only? Are there any other functions in order to estimate ARCH(1,0) with t-residuals?
Thank you.

Regards,
Elena

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