Hi, Alexios,

I am using the rugarch package to get the conditional variance of the uni
variate garch model. But the result i got seems a little weird, see below:

uspec = ugarchspec(mean.model = list(armaOrder = c(0,0),include.mean=TRUE),
                   variance.model = list(garchOrder = c(1,1), model =
"sGARCH"),
                   distribution.model = "ghyp")
fit1=ugarchfit(uspec,data=jpm)
fit2=ugarchfit(uspec,data=sp500)

a=sigma(fit1)
b=sigma(fit2)
H=cbind(1/a,1/b)

In the matrix H, i had the following format:
1970-01-01 19:00:00 0.10648731 0.004840093
1970-01-02 19:00:00 0.13220160 0.003223305

Any way to get rid of  1970-01-01 19:00:00?

Many thanks!!!

Jun

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