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List: r-sig-finance
Subject: Re: [R-SIG-Finance] TGARCH
From: michal miklovic <mmiklovic () yahoo ! com>
Date: 2008-10-30 23:25:45
Message-ID: 106601.3556.qm () web50109 ! mail ! re2 ! yahoo ! com
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Hi,
I think the value of delta could be restricted by "include.delta=FALSE". That is, a \
GJR GARCH model could be estimated by fit1 <- garchFit(~aparch(1,1), data = ret, \
delta = 2, include.delta = FALSE). Please see the help file of the fGarch package. A \
new version of the package has recently been uploaded on CRAN.
Best regards,
Michal
________________________________
From: Jae Kim <jh8080@hotmail.com>
To: Michael Zak <michael@zak.li>; r-sig-finance@stat.math.ethz.ch
Sent: Thursday, October 30, 2008 9:42:07 PM
Subject: Re: [R-SIG-Finance] TGARCH
Hi,
fGarch package estimates APARCH model for which TGARCH is a special case.
eg, fit1 <- garchFit(~aparch(1, 1), data = ret)
An APARCH model with delta=1 is TGARCH and delta=2 is GJR GARCH model.
But I do not know how to restrict the value of delta.
Anyone can help?
--------------------------------------------------
From: "Michael Zak" <michael@zak.li>
Sent: Friday, October 31, 2008 6:18 AM
To: <r-sig-finance@stat.math.ethz.ch>
Subject: [R-SIG-Finance] TGARCH
> Hi there
>
> Is there a solution how to use TGARCH in R? As far as I know, there is no such \
> function in R. With ARCH/GARCH I don't have a problem to find and use it, but \
> TGARCH?
> Thank you, Michael Zak
>
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