new Garch fit function

The new garch fit function is called "infer" , in the old one which is called "garchfit" the user can get [Spec, SE, ~, e, sigma, summary] as outputs, does any one knows how to get " e, sigma" in the new infer function ? thanks

Answer 1

[Hang Qian]

Hi Muhamed,

The new GARCH fit function is called “estimate”, which uses data to estimate the unknown parameters in the GARCH model. The output of “estimate” is a fitted model, say EstMdl. Then we may use the “infer” function with EstMdl to extract the conditional variances V. In the old “garchfit”, the output variable sigma appears to be the conditional standard deviations. So if we take the square root, sqrt(V) should yield comparable results for sigma.

Hang Qian