Fwd: RV: replicate sigma of the function UGARCHFIT

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Fwd: RV: replicate sigma of the function UGARCHFIT

于 喆





Hi R-sig-finance committee,
I am a R beginner,  wish my primary question will not bother you.
I am using your ugarchfit function to make a garch fit, and I have got replicating the Sigma of the in.sample forecasting but the first sigma (sigma(1))
I tried to calculate the first sigma by treating  the variance of total sample observation and average of  errors respect to mean equation as input, but not the result that the UGARCHFIT     function gives . Would you clarify the input for calculating the first sigma of the in.sample forecasting?

Thanks a lot!
Zhe

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