[R] fSeries

[Vito Ricci]

Hi,

see ? garch in tseries package.

library(tseries)
> garch(x)

 ***** ESTIMATION WITH ANALYTICAL GRADIENT ***** 


Warning: singular information

Call:
garch(x = x)

Coefficient(s):
       a0         a1         b1  
8.564e-07  5.000e-02  5.000e-02  

Best
Vito


You wrote:

Good morning everyone,

I use for the first time the package fSeries and i try
to run the example
given by Diethelm Würtz. But when i run its example
which is the following 
#
# Example: 
#	Model a GARCH time series process 
#
# Description:
#	PART I: Estimate GARCH models of the following type
ARCH(2) 
#     and GARCH(1,1) with normal conditional
distribution functions.
#   PART II: Simulate GARCH models of the following
type, ARCH(2) 
#     and GARCH(1,1),
#	with normal conditional distribution functions.
#
# Author:
#	(C) 2002, Diethelm Wuertz, GPL
#


############################################################################
####
# PART I: Estimation:

	# Settings:
	set.seed(547)
    # Bollerslev's GARCH(1,1) with normal innovations:
	model = list(omega = 1e-6, alpha = 0.1, beta = 0.8,
mu = 0)
	x = garchSim(model, n = 1000)
	fit = garchFit(as.numeric(x), order = c(1, 1))
	print(fit)
	# Summary and Diagnostic Analysis:
	summary(fit)
	# Plot Results:
	par(mfrow = c(2, 2))
	plot(fit)
	###

Results of the estimations are false.

Call:
garchFit(x = as.numeric(x), order = c(1, 1))

Coefficient(s):
    omega         a1         b1  
8.564e-07  5.000e-02  5.000e-02  

To compare with : omega = 1e-6, alpha = 0.1, beta =
0.8.

Do you have some information about this?
Can I give some initials values to start the
estimations?
Can I use different innovation process like student-t
and GED

Thanks for your answers

Cyril 







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