[R] fSeries

Braesch Lucas Lucas.Braesch at ensae.fr
Tue Dec 13 17:33:51 CET 2005

I'm trying to use garchFit from fSeries, with Student or Skewed Student conditionnal distribution. Let's say that eps (vector) is my series of daily log-returns:

eps = diff(log(EuStockMarkets[,"CAC"]))

g = garchFit(series = eps, formula.var = ~garch(2,2), cond.dist = "dstd")
s = g at fit$series

All the coefficients are ok (checked with SAS 9.1) except nu (degrees of freedom of the student) and the log-likelyhood. I've really checked everything and can't find the estimated series sigma (volatility) and eta, such that eps = sigma * eta and eta is centered and reduced... I've tryed combinations of all s$x,s$h,s$z and nothing looks looks correct.

Also, is it possible to fit EGARCH and TGARCH with R ?

If anyone ever managed to make it work, i'd be grateful ;-)

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