Hello, I am trying to estimate a multivariate GARCH model using the fGarch
package. My problem is that the garchFit function does not output a
parameter estimate for all of the variables nor do the parameter estimates
change at all from the univariate case. Here is the code that I am using:
options(scipen=999)
library('fGarch')
#generate the data for univariate garch estimation
x.vec = as.vector(garchSim(garchSpec(rseed = 1985), n = 200)[,1])
#estimate the univariate garch parameters
garchFit(~ garch(1,1), data = x.vec, trace = FALSE)
#observe that the alpha parameter is 0.089 and the beta parameter is 0.812
#generate the data for multivariate garch estimation
X.mat = cbind(GARCH11 = x.vec, gamma = rnorm(200))
#estimate the multivariate garch parameters
garchFit(GARCH11 ~ garch(1,1), data = X.mat)
#the parameters for alpha and beta are unchanged and there is no estimate
for the gamma variable
Thank you. Geoff
--
Geoffrey Smith
Visiting Assistant Professor
Department of Finance
W. P. Carey School of Business
Arizona State University
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