[R] Initial values of the parameters of a garch-Model

[Thomas Schwander]

Dear all,

I'm using R 2.8.1 under Windows Vista on a dual core 2,4 GhZ with 4 GB 
of RAM.
I'm trying to reproduce a result out of "Analysis of Financial Time 
Series" by Ruey Tsay.

In R I'm using the fGarch library.

After fitting a ar(3)-garch(1,1)-model 
    > model<-garchFit(~arma(3,0)+garch(1,1), analyse)

I'm saving the results via
    > result<-model at fit$se.coef

I'm wondering how the first variance
    > result at h.t[1]

is computed, i.e. how the initial parameters for \varepsilon_{t-1} and 
\sigma_{t-1}^2 have been chosen so that the first variance is 
    [1] 0.003381579

and why they have been chosen this way.

Even after snooping the function-code I cannot find it.

Any help would be appreciated.

Thanks,
Thomas

Here is the data used:

dput(analyse)
structure(list(V1 = c(0.0225, -0.044, -0.0591, 0.0227, 0.0077,
0.0432, 0.0455, 0.0171, 0.0229, -0.0313, 0.0223, 0.0166, -0.0208,
0.0477, 0.0065, 0.0172, 0.0522, -0.0094, 0.065, 0.0445, 0.0432,
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-0.0405, 0.0125, 0.0741, 0.024, 0.0145, 0.1199, 0.0029, 0.0571,
-0.0058, -0.0023, 0.0161, -0.0428, 0.1124, 0.0456, 0.098, -0.0489,
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0.0489, 0.1144, -0.0692, -0.0959, -0.1372, 0.139, -0.0742, 0.0095,
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