[R] tseries & GARCH & pred_garch method

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


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.  


Denis A Ignatovich

        [[alternative HTML version deleted]]

R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Thu Jul 14 15:07:17 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:33:38 EST