[R-SIG-Finance] contradiction between rugarch package and fracdiff package

[Chao Xiong]

Hi, I am new in using rugarch. It is fabulous. But I need some help on
fitting the ARFIMA model.

using rugarch

spec = arfimaspec(mean.model = list(armaOrder=c(1,1), include.mean =
F, arfima = T,
external.regressors=NULL)
, distribution.model = "norm")

res = arfimafit(spec, dat$daysp^2*10000);

in fracdiff package, there are two functions (Sperio Estimate and
Geweke and Porter-Hudak Estimator) providing an estimate of d, or
"arfima" in rugarch

fdGPH(dat$daysp^2*10000, bandw.exp = 0.5)
fdSperio(dat$daysp^2*10000, bandw.exp = 0.5, beta = 0.9)

in this particular data set, it will give a value of 0.37. However,
using rugarch package, the value is -0.03. Is it becuase rugarch will
estimate an additional parameter sigma? I highly doubt that. You can
also try any other data set.

I don't know which one is correct. In addition, the speed for using
rugarch is much slower.

Thanks.
-- 
Chao Xiong