Hi,
I am trying to fit an arma(0,1) + garch(1,1) model using the functions
available in two different packages (fGarch and rugarch). I am getting
slightly different answers for the toy problem I was trying to solve and
thought I'd see if I could get some help before I complicated things by
adding exogenous variables.
Code below:
# Based on code from Ruppert 2011, Example 18.3 and 18.4 and Figure 18.4
rm(list=ls(all=TRUE))
library(fGarch)
library(rugarch)
data(bmw,package="evir")
garch1 = garchFit(~arma(1,0)+garch(1,1),data=bmw,cond.dist="norm")
options(digits=3)
summary(garch1)
options(digits=10)
spec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder =
c(1, 1)),
mean.model = list(armaOrder = c(1, 0),
external.regressors = NULL),
distribution.model = "norm")
garch2 <- ugarchfit(spec=spec, data = bmw)
options(digits=3)
garch2@fit$coef
garch2@fit$se.coef
garch1@fit$coef
garch1@fit$se.coef
Any help or insight appreciated!
Thanks,
Danielle
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