[R] GARCH model estimation

[Barbara Rogo]

I have to estimate the volatility of FTSE/MIB index with a GARCH model from
2012-06-21 to 2015-04-30, in every day. I use garchFit function, but I
don't understand the meaning of se.coef output. Does this function estimate
the volatility in every day of the time series (in input)? So does it
estimate three parameters (for example if the model is GARCH(1,1)) in every
day?

Thanks for your help.

2015-08-04 19:25 GMT+02:00 Barbara Rogo <barbara.rogo a uniroma1.it>:

> I have to estimate the volatility of FTSE/MIB index with a GARCH model
> from 2012-06-21 to 2015-04-30, in every day. I use garchFit function, but I
> don't understand the meaning of se.coef output. Does this function estimate
> the volatility in every day of the time series (in input)? So does it
> estimate three parameters (for example if the model is GARCH(1,1)) in every
> day?
>
> Thanks for your help.
>
> Barbara
>

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