Hi
I compared garch results in R with those give by other software and found
that their coefficients are different from each other. So I wondered that a
convention the garch funcion in R takes.
By testing the output, I noticed it seems that garch function in R by
default takes such a convention:
y(t) = c + sigma(t) where c=0 and sigma(t) = a(0) + a(1)*epsilon^2 +
b(1)*sigma(t-1)^2.
I also checked the standard deviation series, i.e., the
output$fitted.values, and noticed that the first element (the starting
variance) is NA. I feel puzzled because in other software, the
starting variance is estimated together with a(0), a(1) and b(1) by ML
method.
Could any clear this puzzle for me? Many thanks!
[[alternative HTML version deleted]]