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ENH: FIAPARCH and FIEGARCH with ARCH package #531

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alejandro-cermeno opened this issue Sep 27, 2021 · 2 comments
Open

ENH: FIAPARCH and FIEGARCH with ARCH package #531

alejandro-cermeno opened this issue Sep 27, 2021 · 2 comments
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enhancement help wanted

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@alejandro-cermeno
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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.
@bashtage
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These models have not been implemented and so a volatility class would be needed for both.

@alejandro-cermeno
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understood thanks

@bashtage bashtage changed the title FIAPARCH and FIEGARCH with ARCH package ENH: FIAPARCH and FIEGARCH with ARCH package Sep 28, 2021
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@bashtage @alejandro-cermeno