[R-SIG-Finance] R-SIG-Finance Digest, Vol 74, Issue 14

Matt Slezak nocman43202 at yahoo.com
Thu Jul 15 16:33:53 CEST 2010

RE:[R-SIG-Finance] fGarch and multivariate GARCH
Wed Jul 14 2010 15:25:55 GMT-0500 (Central Daylight Time)
"Geoffrey Smith" <gps at asu.edu>

Silly question for you, are you sure your dataset is mean reverting?  Then you 
would only get an alpha beta returned... only odd thing is your alpha + beta 
should equal 1 in this case.


Matt Slezak
Risk Specialist

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