[R] Re: R-help Digest V2 #236
adrian at olsen.ch
Fri Oct 20 09:36:17 CEST 2000
R-help Digest wrote:
> Date: Thu, 12 Oct 2000 20:48:59 -0700 (PDT)
> From: Elliot Williams <ewilliams at ucsd.edu>
> Subject: [R] GARCH in package tseries
> 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
> for comment/investigation.
Thanks for that comment. I'll put that on my todo list and will mail you what is wrong
with the computation.
Adrian Trapletti, Olsen & Associates Ltd., See-
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