[R] GARCH in package tseries
ewilliams at ucsd.edu
Fri Oct 13 05:48:59 CEST 2000
I was running some likelihood ratio tests (using the current version of
tseries) and found a different value for the log-likelihood from what I
was getting using other software. I've traced the problem to R's GARCH
using the conditional standard deviations instead of the conditional
variances. This amounts to a factor of 2 once logs are taken, and could
easily be a case of bad parentheses.
It doesn't appear to affect the estimated coefficients, however.
I'm not a good fortran programmer, so I'll just toss this up to the group
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