Hello all, I am trying to use the "garchFit" function in the fSeries Package to fit a Garch(1,1) Model with t distribution. I am using the following codes.
fit <- garchFit(~garch(1,1),data,cond.dist="dstd") fitted(fit) I was expecting the fitted(fit) would return the fitted volatility, but the result turns out to be a series of repeated same value. I tried to change the distribution to normal, and the same thing happened. Could anyone give me some advice? Many thanks. -- View this message in context: http://www.nabble.com/fSeries-GARCH%281%2C1%29-tf4109574.html#a11686281 Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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 and provide commented, minimal, self-contained, reproducible code.
