Hello, I have a univariate data set, and the unconditional variance is 1. I would like to fit a GARCH(1,1) model to the data set with a constraint: \omega (the constant parameter in GARCH(1,1)) is equal to 1-\alpha-\beta. So the unconditional variance can be controled to be \omega /(1-\alpha-\beta) = 1.
I was using garchFit (fGARCH package) but did not find the way to control. Any help? Thanks a lot!! Ted -- View this message in context: http://www.nabble.com/How-to-fit-GARCH%281%2C1%29-with-targeted-unconditional-variance--tp22016564p22016564.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@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.
