[R] tseries & GARCH & pred_garch method

From: Denis A Ignatovich <dinja_at_cs.utexas.edu>
Date: Thu 14 Jul 2005 - 15:04:03 EST


Hi,  

I had a quick question regarding the pred_garch function (as part of the tseries library, garch.c), and specifically: the function calculates the 'h' vector of conditional variances, h[n+1] if the data is genuine. I am very much a beginner, but from what I understand I would think that it is computed from the errors vector, not 'y' (which is the input to the function). Before I saw the implementation, I expected the errors array to be calculated from the passed in 'y'-array, but it's just plugged in straight. I am most likely wrong, thus please pardon my ignorance, however I would greatly appreciate any help you could provide to clarify this for me.  

Sincerely,  

Denis A Ignatovich

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