[R-SIG-Finance] garchFit- initial volatility

[neshac]

Hi all,

I am newbie in R, and trying to estimate the volatility using GARCH model. I
have daily return time series of some stocks in DAX30.

My question is, how the initial variance is calculated when I have a return
time series with 20 elements as the input and lets say they are daily
returns in January. Is it the variance of the time series? In this case, I
will only have the variance for the last day of the month and the returns
for the whole month. Since the time points of returns and volatility will
not fit,  how will be the model estimated then? 


I'd like to use  the 20-day variance for the 1st of January as the initial
variance, how should I code it so that it takes whatever I want as the
initial variance? I checked the source code for initializing parameters but
I could not see how it is done.

Could anyone show me a way to do this please?

Thank you in advance for your attention,

Regards,

Neslihan H. 

 
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