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 estimate three parameters (for example if the model is GARCH(1,1)) in every day?
Thanks for your help. Barbara [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.