Good morning everyone,
I use for the first time the package fSeries and i try to run the example
given by Diethelm Würtz. But when i run its example which is the following
#
# Example:
# Model a GARCH time series process
#
# Description:
# PART I: Estimate GARCH models of the following type ARCH(2)
# and GARCH(1,1) with normal conditional distribution functions.
# PART II: Simulate GARCH models of the following type, ARCH(2)
# and GARCH(1,1),
# with normal conditional distribution functions.
#
# Author:
# (C) 2002, Diethelm Wuertz, GPL
#
############################################################################
####
# PART I: Estimation:
# Settings:
set.seed(547)
# Bollerslev's GARCH(1,1) with normal innovations:
model = list(omega = 1e-6, alpha = 0.1, beta = 0.8, mu = 0)
x = garchSim(model, n = 1000)
fit = garchFit(as.numeric(x), order = c(1, 1))
print(fit)
# Summary and Diagnostic Analysis:
summary(fit)
# Plot Results:
par(mfrow = c(2, 2))
plot(fit)
###
Results of the estimations are false.
Call:
garchFit(x = as.numeric(x), order = c(1, 1))
Coefficient(s):
omega a1 b1
8.564e-07 5.000e-02 5.000e-02
To compare with : omega = 1e-6, alpha = 0.1, beta = 0.8.
Do you have some information about this?
Can I give some initials values to start the estimations?
Can I use different innovation process like student-t and GED
Thanks for your answers
Cyril
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