[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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