Variance intercept parameter.

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Variance intercept parameter.

PedroBSB
Greetings,

I am using the rugarch library and I am trying to use the ugarchspec command without the  Variance Intercept Parameter (omega).

Does someone known how can I formulate a Garch Specification without the Variance Intercept Parameter   ?

Thank you,

Pedro
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Re: Variance intercept parameter.

alexios
Have you considered fixing it to zero?

spec = ugarchspec(fixed.pars=list(omega=0))
or equivalently:
spec = ugarchspec()
setfixed(spec)<-list(omega=0)

All methods for the uGARCHspec class are documented (try
?'uGARCHspec-class').

Regards,

Alexios

On 07/10/2012 14:48, PedroBSB wrote:

> Greetings,
>
> I am using the rugarch library and I am trying to use the ugarchspec command
> without the  Variance Intercept Parameter (omega).
>
> Does someone known how can I formulate a Garch Specification without the
> Variance Intercept Parameter   ?
>
> Thank you,
>
> Pedro
>
>
>
>
> --
> View this message in context: http://r.789695.n4.nabble.com/Variance-intercept-parameter-tp4645328.html
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Re: Variance intercept parameter.

PedroBSB
Alexios ,
Thank you for your reply.
I will try your solution.
Best regards.
Pedro