Re: [R] ARMA(0,2) & GARCH(1,1) - code & hessian

Hi, As far as I can tell, your code looks very similar to the example of the paper "Parameter Estimation of ARMA Models with GARCH/APARCH Errors" available at the rmetrics website. In this paper you can also find an example how to calculate the hessian matrix. What is the dataset and the paramete

[R] ARMA(0,2) & GARCH(1,1) - code & hessian

Hello R-list-members, I'm trying to model ARMA(0,2) & GARCH(1,1) process using the code below, but according to my textbook, the estimated parameters are wrong. The MA-parameters should be negative. (I've got the same problem using garchFit()). Can anyone tell me what I'm doing wrong? And how ca