Displaying 3 results from an estimated 3 matches for "garch1".
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2006 Jun 20
1
GARCH
Dear all R-users,
I have a GARCH related query. Suppose I fit a GARCH(1,1) model on a
dataframe dat
>garch1 = garch(dat)
>summary(garch1)
Call:
garch(x = dat)
Model:
GARCH(1,1)
Residuals:
Min 1Q Median 3Q Max
-4.7278 -0.3240 0.0000 0.3107 12.3981
Coefficient(s):
Estimate Std. Error t value Pr(>|t|)
a0 1.212e-04 2.053e-06 59.05 <2e-16 ***
a1 1.001e+00 4.165e...
2006 Jun 20
1
GARCH
Dear all R-users,
I have a GARCH related query. Suppose I fit a GARCH(1,1) model on a
dataframe dat
>garch1 = garch(dat)
>summary(garch1)
Call:
garch(x = dat)
Model:
GARCH(1,1)
Residuals:
Min 1Q Median 3Q Max
-4.7278 -0.3240 0.0000 0.3107 12.3981
Coefficient(s):
Estimate Std. Error t value Pr(>|t|)
a0 1.212e-04 2.053e-06 59.05 <2e-16 ***
a1 1.001e+00 4.165e...
2006 Jun 13
2
Garch Warning
Dear all R-users,
I wanted to fit a Garch(1,1) model to a dataset by:
>garch1 = garch(na.omit(dat))
But I got a warning message while executing, which is:
>Warning message:
>NaNs produced in: sqrt(pred$e)
The garch parameters that I got are:
> garch1
Call:
garch(x = na.omit(dat))
Coefficient(s):
a0 a1 b1
1.212e-04 1.001e+00 1.111e-14...