Displaying 1 result from an estimated 1 matches for "conditionaldistribution".
2012 Mar 11
0
specify GARCH model, using garchFit()
...tistical field. Has anyone worked with
these and know the fix?
Thanks,
Ash
### OUTPUT:
> summary(m1)
Title:
GARCH Modelling
Call:
garchFit(formula = ~garch(2, 1), data =X, trace = F)
Meanand Variance Equation:
data ~ garch(2, 1)
<environment: 0x03c0c84c>
[data =ex3.5$sp5]
ConditionalDistribution:
norm
Coefficient(s):
mu omega alpha1 alpha2 beta1
0.630047 0.716062 0.048446 0.096263 0.838793
Std.Errors:
based on Hessian
ErrorAnalysis:
Estimate Std. Error t value Pr(>|t|)
mu 0.63005 0.14072 4.477 7.56e-06 ***
omega 0.71606...