[R-SIG-Finance] fitted fGarch model

[Spencer Graves]

	  I need to modify my earlier response.

library(FinTS)
data(sp500)
spFit00.11a <- garchFit(sp500~garch(1,1), data=as.numeric(sp500))
at <- spFit00.11a at residuals
quantile(at)
           0%          25%          50%          75%         100%
-0.306849724 -0.028099724  0.001250276  0.029775276  0.414750276

	  From this, it is clear that garchFit()@residuals are NOT standardized.

	
st <- spFit00.11a at sigma.t
qqnorm(at, datax=TRUE)
qqnorm(at/st, datax=TRUE)

	  From comparing these two normal probability plots, it is apparent 
that 'at/st' is more normal than 'at'.

	  However, sd(at/st) = 0.9979, so the standardization is not perfect.

all.equal(as.numeric(sp500), spFit00.11a at fitted+at)	
# TRUE

	  Your pseudocode suggests that 'vt' are the standardized residuals, 
but that's not the case in this example.  If you have a real example, 
that contradicts this case, could you please report it?  Otherwise, I 
will assume that the test you reported was different from what you 
actually did.  It's always best to test an answer before giving it -- 
something I failed to do in my initial response to this question.

	  Best Wishes,
	  Spencer

babel at centrum.sk wrote:
> 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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