Hi all,
if I use
fit = garchFit(~arma(2,0), ~garch(1,1), series = rt)
does fit at fitted.values hold the fitted standard deviations? The manual
only says
@fitted.values a numeric vector with the fitted values.
I'm not sure if this means the fitted values from the arma or the variance..
Is there also a function to estimate a AR-Garch model with t
distributed innovations? I'm trying to calculate the Value at Risk
using the models outlined above.
I really appreciate your help,
Benjamin