[R] TSeries GARCH Estimates accuracy
Sanjay Kumar Singh
sksingh at andrew.cmu.edu
Mon Apr 11 15:20:17 CEST 2005
I am trying to fit a GARCH(1,1) model to a financial timeseries using the 'garch' function in the tseries package. However the parameter estimates obtained sometimes match with those obtained using SAS or S-Plus (Finmetrics) and sometimes show a completely different result. I understand that this could be due to the way optimization of MLEs are done, however, I would appreciate any help to obtain consistent results using R.
Also is there any garch simulation function available other than garchSim from fseries package?
Thanks in advance,
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