[R-SIG-Finance] Garch, beginner questions
dickgiesser at gmail.com
Tue Nov 21 10:13:49 CET 2006
if I use
fit = garchFit(~arma(2,0), ~garch(1,1), series = rt)
does fit at fitted.values hold the fitted standard deviations? The manual
@fitted.values a numeric vector with the fitted values.
I'm not sure if this means the fitted values from the arma or the variance..
Is there also a function to estimate a AR-Garch model with t
distributed innovations? I'm trying to calculate the Value at Risk
using the models outlined above.
I really appreciate your help,
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