[R-SIG-Finance] garch in R vs Matlab
babel at centrum.sk
babel at centrum.sk
Tue Feb 26 23:29:39 CET 2008
Hello guys
Why residuals in R are different than in matlab. Here is example
fit = garchFit(~garch(1, 1), data =ret)
res1<-fit at residuals
garch11<-ret-res1
garch11 = 0.0001074985 0.0001074985 0.0001074985 ...... which is coefficient mu from garchFit
in MATLAB
[coeff,errors,LLF,innovations,sigmas,summary] = garchfit(ret);
garch11<-ret-innovations = 3.066250e-04 1.075012e-04 -1.909928e-04 5.055000e-04 ..
Innovations (in help there is also use name "residuals") in Matlab should be the same residuals that those in R (fit at residuals) ? Even when coefficients alpha, beta, omega are same. Also simulation results are totally different. Does R count garch different than Matlab, or just additional mathematical operation are needed?
Regards Jano
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