new Garch fit function

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Muhamed Alsharman
Muhamed Alsharman am 24 Jul. 2017
Beantwortet: Hang Qian am 11 Aug. 2017
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

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Hang Qian
Hang Qian am 11 Aug. 2017
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

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