Thanks Spencer!

On 2/3/08, Spencer Graves <spencer.graves@pdf.com> wrote:
>
> The help page for garchFit says "@h.t :  " a numeric vector with the
> conditional variances."  It says the same thing for "@sigma.t", but
> that's clearly a typo:  sigma.t = the conditional standard deviation, as
> indicated by the following check:
>
> library(FinTS)
> library(fGarch)
> data(sp500)
> spFit30.11 <- garchFit(sp500~arma(3,0)+garch(1,1),
>                       data=sp500)
> all.equal(spFit30.11@h.t, spFit30.11@sigma.t^2)
>
> TRUE
>
>      hope this helps.
>      spencer
>
> tom soyer wrote:
> > Nevermind, I found it... sigma.t instead of fitted. What is h.t??
> >
> > On 2/3/08, tom soyer <tom.soyer@gmail.com> wrote:
> >
> >> Hi,
> >>
> >> I noticed that garchFit provides the fitted mean (i.e., a long repeat
> of
> >> one single value), but it seems there is no fitted values for the
> variance
> >> part. Are they not calculated at all? If so, how could I get the fitted
> >> values of the variance? Do I have to manually type the coefficients and
> >> write an equation in order to get the fitted values?
> >>
> >> Thanks,
> >>
> >> --
> >> Tom
> >>
> >>
> >
> >
> >
> >
>



-- 
Tom

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