Message-ID: <44952.199.50.29.42.1113225617.squirrel@199.50.29.42>
Date: 2005-04-11T13:20:17Z
From: Sanjay Kumar Singh
Subject: TSeries GARCH Estimates accuracy
Hi,
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,
Sanjay