[R] fSeries

From: Braesch Lucas <Lucas.Braesch_at_ensae.fr>
Date: Wed 14 Dec 2005 - 03:33:51 EST


I'm trying to use garchFit from fSeries, with Student or Skewed Student conditionnal distribution. Let's say that eps (vector) is my series of daily log-returns:

data(EuStockMarkets)
eps = diff(log(EuStockMarkets[,"CAC"]))

library(fSeries)
g = garchFit(series = eps, formula.var = ~garch(2,2), cond.dist = "dstd") s = g@fit$series

All the coefficients are ok (checked with SAS 9.1) except nu (degrees of freedom of the student) and the log-likelyhood. I've really checked everything and can't find the estimated series sigma (volatility) and eta, such that eps = sigma * eta and eta is centered and reduced... I've tryed combinations of all s$x,s$h,s$z and nothing looks looks correct.

Also, is it possible to fit EGARCH and TGARCH with R ?

If anyone ever managed to make it work, i'd be grateful ;-)



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Dec 14 04:58:23 2005

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