fGarch: possible bug(s)

[Yohan Chalabi]

>>>> "MM" == michal miklovic <mmiklovic at yahoo.com>
>>>> on Sat, 2 Feb 2008 08:28:16 -0800 (PST)

   MM> In the summary function of fGarch, I would suggest that
   MM> standardised residuals are computed as:
   MM> 
   MM> r.s = object at residuals/object at sigma.t
   MM> 
   MM> because r.s = object at residuals/sqrt(object at h.t) is wrong
   MM> for aparch models, in which it does not hold that sigma =
   MM> h^(1/2). The correct expression that holds in general is:
   MM> sigma = h^(1/delta).
   MM> 
   MM> In fGarch 260.72 sigma.t is calculated as: (.series)^deltainv,
   MM> where deltainv = 1/fit. However, fit does not get updated
   MM> with coefficient estimates and thus is always equal to 2. This
   MM> leads to wrong calculation of sigma.t, which is always equal
   MM> to h^(1/2).
   MM> Has this problem been solved in the development version of
   MM> Rmetrics (fGarch)?

Hi Michal,

I completely agree with you. I made the appropriate changes to the dev
branch of Rmetrics.

thanks for your helpful comments,
Yoahn