Dear R users,
I am trying to use tseries' garch function in order to determine the
volatility of a return series generated by quantmod. Here is the code that I
am using:
> library(quantmod)
> getSymbols("AAPL")
convert daily closing prices into continuous log returns
> dret<-dailyReturn(AAPL,type='log')
check to see that the autocorrelations decay
> acf(dret)
autocorrelations seem to oscillate to zero
load package tseries need for garch
> library(tseries)
run garch on the daily returns
> garch(dret)
When Garch runs there is false convergence, which leads me to distrust the
results produced from it. Any help or advice on how to remedy this problem
would be appreciated greatly.
Sean
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