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xcs
2006 Nov 22
2
problems with garchFit
...F,
skew = st_fit$est[4], shape = st_fit$est[3], include.skew = T, include.shape= T)
vix <- read.csv('D:/Documents and Settings/Mu Tian/Desktop/8780/8780
project/vix_m.csv', header=TRUE)
vix <- (vix[,2]/100) / (12^.5)
plot_sd <- function(x, ylim = null, col = null, ...) {
xcsd = x@sigma.t
plot(xcsd, type = "l", col = col, ylab = "x",
main = "Conditional SD", ylim = ylim)
abline(h = 0, col = "grey", lty = 3)
grid()
}
plot_sd(garch_norm, ylim = c(0.02, 0.13), col = 2)
xcsd = garch_t@sigma.t
lines(...