[R] A mistake in garchFit()? {fGarch}

Hello, I was using garchFit {fGarch} to fit some GARCH processes. I noticed that the result contains "Log Likelihood" value (right above "Description"), but when I use @fit$llh to retrieve Log Likelihood value, the sign switched. I am confused about which value I should choose to report... An

Re: [R] How to get robust M-estimator of multivariate scatter using Huber's psi?

Thanks again for the message. Tried to figure out but failed... I don't understand how to modify the \psi and combine it to covMest... Sorry for my poor programming skills. Can anyone give me some hints? Thanks a lot! Ted David Winsemius wrote: > > Look in robustbase; it has a psiFunc class.

[R] How to fit GARCH(1,1) with targeted unconditional variance?

Hello, I have a univariate data set, and the unconditional variance is 1. I would like to fit a GARCH(1,1) model to the data set with a constraint: \omega (the constant parameter in GARCH(1,1)) is equal to 1-\alpha-\beta. So the unconditional variance can be controled to be \omega /(1-\alpha-\