[R-SIG-Finance] garch in R vs Matlab

Spencer Graves spencer.graves at pdf.com
Wed Feb 27 05:32:47 CET 2008


      Your example is not self contained, and I'm unable to replicate it. 

      Consider the following (from ch03.R in the 'FinTS' package): 

library(FinTS)
library(fGarch)
data(sp500)
spFit00.11a <- garchFit(sp500~garch(1,1), data=as.numeric(sp500))
str(spFit00.11a at residuals)
 num [1:792]  0.015050 -0.051450 -0.066550  0.015250  0.000250 ...

      Clearly, these residuals are not constant. 

      Would you mind running this example through the Matlab 'garchfit' 
function and reporting the answers to us? 

      Also, would you mind providing us with the following: 

str(ret)
sessionInfo()

      Finally, if you'd like to increase the expected utility of replies 
to future posts, I suggest you check the Posting Guide at 
www.r-project.org -> "Mailing Lists" -> "Posting Guide" (in the top line). 
        
      Hope this helps. 
      Spencer

babel at centrum.sk wrote:
> 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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