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Published 20 hours ago • verified publisher icon bashtage

ENH: FIAPARCH and FIEGARCH with ARCH package

Open alejandro-cermeno opened this issue 2 years ago • 2 comments

Hello there

Is it possible to estimate the 1) FIAPARCH and 2) FIEGARCH models from the high-level arch_model()? How could 1) and 2) be estimated with the ARCH package?

Thanks in advance for the answer.

alejandro-cermeno avatar Sep 27 '21 21:09 alejandro-cermeno

These models have not been implemented and so a volatility class would be needed for both.

bashtage avatar Sep 27 '21 21:09 bashtage

understood thanks

alejandro-cermeno avatar Sep 28 '21 00:09 alejandro-cermeno