I'm trying to use garchFit from fSeries, with Student or Skewed Student conditionnal distribution. Let's say that eps (vector) is my series of daily log-returns:
data(EuStockMarkets) eps = diff(log(EuStockMarkets[,"CAC"])) library(fSeries) g = garchFit(series = eps, formula.var = ~garch(2,2), cond.dist = "dstd") s = [EMAIL PROTECTED] All the coefficients are ok (checked with SAS 9.1) except nu (degrees of freedom of the student) and the log-likelyhood. I've really checked everything and can't find the estimated series sigma (volatility) and eta, such that eps = sigma * eta and eta is centered and reduced... I've tryed combinations of all s$x,s$h,s$z and nothing looks looks correct. Also, is it possible to fit EGARCH and TGARCH with R ? If anyone ever managed to make it work, i'd be grateful ;-) ______________________________________________ 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
