From: Elena M. <helen_m_at_inbox.lt>

Date: Mon, 24 Mar 2008 16:13:17 +0200

R-help_at_r-project.org mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Mon 24 Mar 2008 - 14:33:32 GMT

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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