fGarch: possible bug(s) and suggestions

[Yohan Chalabi]

>>>> "MM" == michal miklovic <mmiklovic at yahoo.com>
>>>> on Wed, 20 Feb 2008 06:27:46 -0800 (PST)

   MM> h = c(rev(spec at presample[, 2]), rep(NA, times = n))
   MM> 

yes, this is pretty obvious, thanks to point it out.

   MM> That is, the second column in presample should not be raised
   MM> to the power of delta because it is conditional variance and
   MM> not conditional sigma as I inferred from the garchSpec function.
   MM> 
   MM> 
   MM> Second, I would suggest to slightly alter the definition of
   MM> 'getting and extending series' in the predict function in the
   MM> following way:
   MM> 
   MM> # Get and Extend Series:
   MM> x = c(object at data, rep(mu, M))
   MM> h = c(object at h.t, rep(omega, M))
   MM> z = c(object at residuals, rep(0, M))

I think it is a matter of notation. 

It is common to drop the constant terms in the mean and variance
equations (mu, omega). So, the code makes sense.

regards,
Yohan