[R] Re: R-help Digest V2 #236

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Subject: [R] Re: R-help Digest V2 #236
From: Adrian Trapletti (adrian@olsen.ch)
Date: Fri 20 Oct 2000 - 17:36:17 EST 

Message-ID: <39EFF5F1.6303E04B@olsen.ch>

R-help Digest wrote:

> Date: Thu, 12 Oct 2000 20:48:59 -0700 (PDT)
> From: Elliot Williams <ewilliams@ucsd.edu>
> Subject: [R] GARCH in package tseries
>
> I was running some likelihood ratio tests (using the current version of
> tseries) and found a different value for the log-likelihood from what I
> was getting using other software. I've traced the problem to R's GARCH
> using the conditional standard deviations instead of the conditional
> variances. This amounts to a factor of 2 once logs are taken, and could
> easily be a case of bad parentheses.
>
> It doesn't appear to affect the estimated coefficients, however.
>
> I'm not a good fortran programmer, so I'll just toss this up to the group
> for comment/investigation.
>
> Thanks,
> Elliot.

Hi Elliot

Thanks for that comment. I'll put that on my todo list and will mail you what is wrong
with the computation.

best
Adrian 

--
Adrian Trapletti, Olsen & Associates   Ltd., See-
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