[R] fSeries GARCH(1,1)
yn19832 at msn.com
Thu Jul 19 12:49:46 CEST 2007
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
fit <- garchFit(~garch(1,1),data,cond.dist="dstd")
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.
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