[R] fGARCH: T-GARCH and the adj. R-squared

Ben Ammar Ben-Ammar at gmx.de
Sat Jan 12 14:25:21 CET 2013

Hi everyone

I'm running a T-GARCH model (i.e. a GJR-GARCH model) using the package fGARCH. A sample code for my model looks like this:

Modell1=garchFit(formula=~1+aparch(1,1), data="T-Bill", delta=2, include.delta=F)

Here's the issue. I need to indicate the adjusted R-squared values for the model fit. R (i.e. the package) does not provide that measure after running the model. However, some research papers indicate the adj. R^2 for the T-GARCH model and I'd like to follow that procedure. Does anyone have some experience with GARCH models and adjusted R-squares, the fGARCH package or maybe even has a sample code to derive the R^2 in that case?

I'm thankful for any comments!

P.S. I know there might be other model fit measures that are more
appropriate for GARCH but I need to stick to the method of previous literature.

Best regards,

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