[R-SIG-Finance] garchFit - where are the fitted values for the variance part?

[Spencer Graves]

The help page for garchFit says "@h.t :  " a numeric vector with the 
conditional variances."  It says the same thing for "@sigma.t", but 
that's clearly a typo:  sigma.t = the conditional standard deviation, as 
indicated by the following check: 

library(FinTS)
library(fGarch)
data(sp500)
spFit30.11 <- garchFit(sp500~arma(3,0)+garch(1,1),
                       data=sp500)
all.equal(spFit30.11 at h.t, spFit30.11 at sigma.t^2)

TRUE

      hope this helps.
      spencer

tom soyer wrote:
> Nevermind, I found it... sigma.t instead of fitted. What is h.t??
>
> On 2/3/08, tom soyer <tom.soyer at gmail.com> wrote:
>   
>> Hi,
>>
>> I noticed that garchFit provides the fitted mean (i.e., a long repeat of
>> one single value), but it seems there is no fitted values for the variance
>> part. Are they not calculated at all? If so, how could I get the fitted
>> values of the variance? Do I have to manually type the coefficients and
>> write an equation in order to get the fitted values?
>>
>> Thanks,
>>
>> --
>> Tom
>>
>>     
>
>
>
>