subject:"\[R\] GARCH model estimation"

Re: [R] GARCH model estimation

2015-08-17 Thread Barbara Rogo

I have to estimate the volatility of FTSE/MIB index with a GARCH model from 2012-06-21 to 2015-04-30, in every day. I use garchFit function, but I don't understand the meaning of se.coef output. Does this function estimate the volatility in every day of the time series (in input)? So does it estima

[R] GARCH model estimation

2015-08-04 Thread Barbara Rogo

I have to estimate the volatility of FTSE/MIB index with a GARCH model from 2012-06-21 to 2015-04-30, in every day. I use garchFit function, but I don't understand the meaning of se.coef output. Does this function estimate the volatility in every day of the time series (in input)? So does it estima