garch1f4: Fit a GARCH(1,1) model with student-t errors

In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.

Description

Fit a GARCH(1,1) model with student-t errors

Usage

  garch1f4(x, eps, df)

Arguments

x	: [vector] (T x 1) data generated by a GARCH(1,1) process
eps	: [scalar] used in enforcing a_ii + b_ii <= 1 - eps; the default value is zero
df	: [scalar] degree of freedom for the t-distribution; the default value is 500 to make it, basically, normal

Value

q : [vector] (4 x 1) parameters of the GARCH(1,1) process

qerr : [vector] (4 x 1) standard error of parameter estimates

hf : [scalar] current conditional heteroskedasticity estimate

hferr : [scalar] standard error on hf

Note

MATLAB's script initially written by Olivier Ledoit, 4/28/1997

Uses a conditional t-distribution with fixed degrees of freedom

Difference with garch1f: errors come from the score alone

Author(s)

Xavier Valls [e-mail]

References

A. Meucci - "Exercises in Advanced Risk and Portfolio Management" http://symmys.com/node/170.

See Meucci's script for "FitMultivariateGarch.m"

R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.