[R-SIG-Finance] fitted fGarch model

babel at centrum.sk babel at centrum.sk
Sun Feb 24 18:07:24 CET 2008


Hello guys
I have this question. How to fit the garch model and print all his fitted values. 
y=c+at  at=vt*sigma   vt=N(0,1)


library(fGarch)
fit = garchFit(~garch(1, 1), data =ret )

c<-fit at fitted
vt<-fit at residuals
sigma<-fit at sigma.t
at<-vt*sigma
model_garch<-c+at



Are these computations correct? Cause if I do model_garch=c+vt  I get the original series. 
Thank you very much for help.



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