[R] Questions regarding R and fitting GARCH models

[Jeroen van der Heide]

Dear all,

I've recently switched from EViews to R with RMetrics/fSeries (newest
version of july 10) for my analysis because of the much bigger
flexibility it offers. So far my experiences had been great -prior I
had already worked extensively with S-Plus so was already kind of
familiar with the language- until I got to the fSeries package.

My problem with the documentation of fSeries is that it is pretty
sparse; therefore I don't whether I am doing something wrong or if my
problem is related to elementary statistics (though I hold an MSc in
Econometrics, it's been quite awhile :o). Next to that I have two
questions related to the syntaxis of the R language itself; I've been
searching for a good couple of hours but couldn't find the answers.
Hope you can help me out.

>From the descriptive statistics of my series, I had determined that my
GARCH error term should follow a student's t distribution, preferrably
skewed; the sstdFit function returns nu=2.002 and xi=1.012. I know
that for this distribution 2 degrees of freedom means the second,
third and fourth moment are not defined; however, the QQ plot looks
good -had to use the skwt package though, because rsstd didn't work-
so I decided to give it a try.

1) That didn't go all to well. garchFit returns alpha1 and beta1 of
0.1 and 0.8 respectively (and beta1 has a standard error of NaN) -
which are not consistent at all with what EViews reported. How is this
possible? Is it because GARCH estimation with a student's t
distribution with 2 degrees of freedom is impossible? What are my
options in this case? Or do I need to use garchSpec, of which I have
absolutely *no* idea what its use is (i.e. the entire idea is to
obtain estimates for a given order of AR-GARCH, right)?

2) R/RGui crashes frequently - also if I "just" want to estimate a
GARCH(1,1) with a student's t distributed error term and 4 or 5
degrees of freedom. I think it just gets into an endless calculation
loop; is there a way to abort this?

3) Is there a way to extract the data from the garchFit objects? So if
"fit" is my object, how can I extract specific data like the
fit$coef[1] I can use with other objects? Ultimately, fSeries comes
with a really nice plotting function (i.e., plot(fit, which=2)) but I
want to extract the series it actually plots from there - is that
possible like the hist function?

Thanks a lot for your time.

Best regards,


Jeroen van der Heide