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estimar
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 <-...