Hi

I would suggest you to compare standardised residuals, defined as fit@residuals / fit@sigma.t, from garchFit estimation with innovations from matlab.
Simulation results could be different because random numbers generated by the two programs are different.

Regards

Michal



----- Original Message ----
From: "babel@centrum.sk" <babel@centrum.sk>
To: R-SIG-Finance <r-sig-finance@stat.math.ethz.ch>
Sent: Tuesday, February 26, 2008 11:29:39 PM
Subject: [R-SIG-Finance] garch in R vs Matlab

Hello guys
Why residuals in R are different than in matlab. Here is example
fit = garchFit(~garch(1, 1), data =ret)
res1<-fit@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@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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