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2005 Dec 25
1
Different ARCH results in R and Eviews using garch from tseries
...e I am a bit confused about ARCH estimation. Is there a way to find what garch() exactly does, without the need of reading the source code (because I cannot understand it)? In Eviews (the results at the end) I am getting different results than in R (for those that have the program I do: Quick -> Estimage Equation -> Method: ARCH -> y c x -> GARCH:0 & ARCH:1 -> ARCH-M term: none. Data can be downloaded from http://constantine.evangelopoulos.com/1.2.2-askhseis.econometrix.csv and can be loaded in R with: x <- ts(read.csv("1.2.2-askhseis.econometrix.csv")[ ,1]) y <-...