# [R] fSeries

Vito Ricci vito_ricci at yahoo.com
Wed Nov 10 17:18:17 CET 2004

```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 WÃ¼rtz. 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.

Can I give some initials values to start the
estimations?
Can I use different innovation process like student-t
and GED

Cyril

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```