Hi,
I had a quick question regarding the pred_garch function (as part of the
tseries library, garch.c), and specifically: the function calculates the
'h'
vector of conditional variances, h[n+1] if the data is genuine. I am very
much a beginner, but from what I understand I would think that it is
computed from the errors vector, not 'y' (which is the input to the
function). Before I saw the implementation, I expected the errors array to
be calculated from the passed in 'y'-array, but it's just plugged in
straight. I am most likely wrong, thus please pardon my ignorance, however I
would greatly appreciate any help you could provide to clarify this for me.
Sincerely,
Denis A Ignatovich
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