[R-SIG-Finance] question related to fixed parameters in "rugarch" package

[alexios]

The fact that ar3 is not 0 is a bug. Will look into it and release a fix 
soon.

Thanks, Alexios

On 27/09/2011 23:18, johnzli at comcast.net wrote:
> Dear all:
>
> I am trying to learn how to use "rugarch" package for ARIMA + sGARCH modeling. When I tried to fix some parameters (statistically insignificant coefficients), I got the following output:
>
> *---------------------------------*
> *          GARCH Model Fit        *
> *---------------------------------*
>
> Conditional Variance Dynamics
> -----------------------------------
> GARCH Model     : sGARCH(1,1)
> Mean Model      : ARFIMA(4,0,0)
> Distribution    : std
>
> Optimal Parameters
> ------------------------------------
>          Estimate  Std. Error  t value Pr(>|t|)
> ar1     0.000000          NA       NA       NA
> ar2     0.630141    0.024459  25.7627  0.0e+00
> ar3     0.085549          NA       NA       NA
> ar4    -0.244984    0.022802 -10.7439  0.0e+00
> omega   0.004524    0.001050   4.3097  1.6e-05
> alpha1  0.266026    0.045341   5.8672  0.0e+00
> beta1   0.569310    0.070464   8.0795  0.0e+00
> shape   7.382851    0.898399   8.2178  0.0e+00
>
> Robust Standard Errors:
>          Estimate  Std. Error  t value Pr(>|t|)
> ar1     0.000000          NA       NA       NA
> ar2     0.630141    0.028354  22.2244 0.000000
> ar3     0.085549          NA       NA       NA
> ar4    -0.244984    0.027248  -8.9908 0.000000
> omega   0.004524    0.001524   2.9696 0.002982
> alpha1  0.266026    0.060709   4.3820 0.000012
> beta1   0.569310    0.107354   5.3031 0.000000
> shape   7.382851    1.443335   5.1151 0.000000
>
> LogLikelihood : 1165.098
>
> Information Criteria
> ------------------------------------
>
> And here is the code:
>
>
> spec<- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1)), mean.model = list(armaOrder = c(4, 0), include.mean = FALSE), distribution.model = "std", start.pars = startPar, fixed.pars = list(ar1 = 0,ar3 = 0))fit<- ugarchfit(data = myData, spec = spec1, solver = "nlminb")
>
> Is it true that the coefficients for ar1 and ar3 should be 0.0 or set to NA?
>
> Your help will be appreciated.
>
>
> John Li
> (224) 372-7082
> 	[[alternative HTML version deleted]]
>
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