I tried tseries::garch() and was getting a lot of False Convergence so tried fGarch::grachFit.
Looking a bit further I find that from fGarch::garchFit I get ..@ fit :List of 17 <snip> .. ..$ convergence: int 1 .. ..$ message : chr "singular convergence (7)" for any and all fits. I have tried various real and lots of simulated data including a wide range of garch(1,1) simulations. The @fitted values are all the same; the @h.t and @sigma.t seem reasonable. Am I interpreting the @fitted incorrectly and is the convergence error perhaps bogus it would seem in at least some of my many tries should have converged. Ron Liviu Andronic wrote: > Hello, > > On 7/1/09, Ron Burns <rrbu...@cox.net> wrote: > >> In trying to fit garch models in above environment. I am getting >> "reasonable" fitted coefficients, but the fitobj...@fitted are all the >> same. This is true even for the help page example: >> >> > There is a better chance of getting good answers if asking finance > related questions on r-sig-finance. Concerning your question, have you > tried fitting the same examples with tseries::garch() or > rgarch::ugarchfit() [1]? > Liviu > > [1] http://rgarch.r-forge.r-project.org/index.html > > -- R. R. Burns Physicist (Retired) Oceanside, CA [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list 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.
