Dear all-
Package /fGarch/ version 2100.78 in R version 2.8.1 (2008-12-22)
running on linux 2.6.22.9-91.fc7
In trying to fit garch models in above environment. I am getting
"reasonable" fitted coefficients, but the fitobj...@fitted are all the
same. This is true even for the help page example:
library(fGarch)
R> X.timeSeries = as.timeSeries(msft.dat)
R> head(
+ garchFit(Open ~ garch(1,1), data =
returns(X.timeSeries),trace=FALSE)@fitted)
2000-09-28 2000-09-29 2000-10-02 2000-10-03 2000-10-04
2000-10-05
0.0006077309 0.0006077309 0.0006077309 0.0006077309 0.0006077309
0.0006077309
and the same for all of the rest of the fitted values. Therefore I am
not sure if I can trust any of the results for the coefficients,
residuals, etc. Any suggestion how to proceed would be appreciated.
Thank you all in advance for your consideration and help.
Ron
--
R. R. Burns
Physicist (Retired)
Oceanside, CA
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