The difference between garch{tseries} and garchFit{fGarch}. the acf of residuals^2 are different. What's wrong?

by linlin   Last Updated September 12, 2019 01:19 AM

I simulate a garch(1,1) series, and use garch and garchFit to build model.

the acf plots of residual of garch and garchFit model is quite similar. But the acf plots of residual^2 are different, the acf of residuals^2 of garch{tseries} shows the process is white noise, but the acf of residuals^2 of garchFit{fGarch} shows that the process is not white noise. Is there anything wrong?

# alpha_1 = 0.5 and beta_1 = 0.3
set.seed(2)
a0 <- 0.2
a1 <- 0.5
b1 <- 0.3
w <- rnorm(10000)
eps <- rep(0, 10000)
sigsq <- rep(0, 10000)
for (i in 2:10000) {
  sigsq[i] <- a0 + a1 * (eps[i-1]^2) + b1 * sigsq[i-1]
  eps[i] <- w[i]*sqrt(sigsq[i])
}

# Plot the correlograms of both the residuals
# and the squared residuals
acf(eps)
acf(eps^2)

# Include the tseries time series library
require(tseries)

# Fit a GARCH model to the series and calculate 
# confidence intervals for the parameters at the 
# 97.5% level
eps.garch <- garch(eps, trace=FALSE)
confint(eps.garch)
acf(eps.garch$residuals,na.action = na.pass)
acf(eps.garch$residuals^2,na.action = na.pass) # white noise process

eps.fitgarch <- garchFit(~garch(1,1), data = eps)
acf([email protected])
acf([email protected]^2) # not white noise process```

Tags : r garch


Related Questions


How to simulate a ARCH/GARCH model in R

Updated April 24, 2015 00:08 AM

SARIMA(2,1,0)(1,0,0)12-GARCH(1,1) model

Updated February 19, 2017 21:19 PM

GARCH parameters sum to greater than one

Updated June 12, 2015 03:08 AM