I can’t fit an ARMA-GARCH model with fixed MA lags in time series data.
I’m trying to fit an ARMA-GARCH model with fixed MA lags in a time series but I receive an error in the following code.
library(fGarch)
fitgi <- garchFit(~ arma(gi, lag = list(ar=NULL, ma=c(1,4)))+ garch(1,1), data = gi, include.mean = F, trace = F)
The arma model with fixed ma coefficients is working fine as a stadalone but when it is in a garchFit model it doesn’t work. Is there a proposition how can I fit a garch model with fixed ARMA coefficients in R?
I would appreciate any suggestion.
Vasileios Var is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.