[R-SIG-Finance] Problem with garch (tseries)
Diethelm Wuertz
wuertz at itp.phys.ethz.ch
Thu Aug 24 23:53:44 CEST 2006
Try:
> require(fSeries)
> x = scan("jpy.txt")
> sd(x)
[1] 0.005828643
# The time series is badly scaled, use function scaling or just
# multiply with 100!
> x = 100 * x
> sd(x)
[1] 0.5828643
> garchFit(series = x)
Coefficient(s):
mu omega alpha1 beta1
-8.88965e-05 1.06363e-02 1.94304e-02 9.48852e-01
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -0.0000889 0.0077757 -0.011 0.9909
omega 0.0106363 0.0052342 2.032 0.0421 *
alpha1 0.0194304 0.0079660 2.439 0.0147 *
beta1 0.9488518 0.0199498 47.562 <2e-16 ***
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Log Likelihood:
1275.933 normalized: 0.8745259
Best regards Diethelm Wuertz
Ricardo Zambrano Aguilera wrote:
>Greetings
>i have this time series, (currency japanese log returns)
>the data´s iid and it don´t have any serial correlation
>but it does not fit to a regular garch ...
>what could it be?
>best regards
>
>RZA
> <<JPY.txt>>
>pd:weekens removed
>
>
>
>------------------------------------------------------------------------
>
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>
>------------------------------------------------------------------------
>
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