# garch in R vs Matlab

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## garch in R vs Matlab

 Hello guys Why residuals in R are different than in matlab. Here is example fit = garchFit(~garch(1, 1), data =ret) res1<-fit@residuals garch11<-ret-res1 garch11 = 0.0001074985  0.0001074985   0.0001074985 ......     which is coefficient  mu  from garchFit in MATLAB [coeff,errors,LLF,innovations,sigmas,summary] = garchfit(ret); garch11<-ret-innovations =    3.066250e-04    1.075012e-04   -1.909928e-04   5.055000e-04 .. Innovations (in help there is also use name "residuals") in Matlab should be the same residuals that those in R (fit@residuals) ? Even when coefficients alpha, beta, omega are same. Also simulation results are totally different. Does R count garch different than Matlab, or just additional mathematical operation are needed? Regards Jano _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. -- If you want to post, subscribe first.
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## Re: garch in R vs Matlab

 Your example is not self contained, and I'm unable to replicate it.       Consider the following (from ch03.R in the 'FinTS' package): library(FinTS) library(fGarch) data(sp500) spFit00.11a <- garchFit(sp500~garch(1,1), data=as.numeric(sp500)) str(spFit00.11a@residuals)  num [1:792]  0.015050 -0.051450 -0.066550  0.015250  0.000250 ...       Clearly, these residuals are not constant.       Would you mind running this example through the Matlab 'garchfit' function and reporting the answers to us?       Also, would you mind providing us with the following: str(ret) sessionInfo()       Finally, if you'd like to increase the expected utility of replies to future posts, I suggest you check the Posting Guide at www.r-project.org -> "Mailing Lists" -> "Posting Guide" (in the top line).               Hope this helps.       Spencer [hidden email] wrote: > Hello guys > Why residuals in R are different than in matlab. Here is example > fit = garchFit(~garch(1, 1), data =ret) > res1<-fit@residuals > garch11<-ret-res1 > garch11 = 0.0001074985  0.0001074985   0.0001074985 ......     which is coefficient  mu  from garchFit > > in MATLAB > [coeff,errors,LLF,innovations,sigmas,summary] = garchfit(ret); > > garch11<-ret-innovations =    3.066250e-04    1.075012e-04   -1.909928e-04   5.055000e-04 .. > > Innovations (in help there is also use name "residuals") in Matlab should be the same residuals that those in R (fit@residuals) ? Even when coefficients alpha, beta, omega are same. Also simulation results are totally different. Does R count garch different than Matlab, or just additional mathematical operation are needed? > Regards Jano > > _______________________________________________ > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. > -- If you want to post, subscribe first. > _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. -- If you want to post, subscribe first.
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## Re: garch in R vs Matlab

 In reply to this post by troger19 Hi I would suggest you to compare standardised residuals, defined as fit@residuals / [hidden email], from garchFit estimation with innovations from matlab. Simulation results could be different because random numbers generated by the two programs are different. Regards Michal ----- Original Message ---- From: "[hidden email]" <[hidden email]> To: R-SIG-Finance <[hidden email]> Sent: Tuesday, February 26, 2008 11:29:39 PM Subject: [R-SIG-Finance] garch in R vs Matlab Hello guys Why residuals in R are different than in matlab. Here is example fit = garchFit(~garch(1, 1), data =ret) res1<-fit@residuals garch11<-ret-res1 garch11 = 0.0001074985  0.0001074985   0.0001074985 ......     which is coefficient  mu  from garchFit in MATLAB [coeff,errors,LLF,innovations,sigmas,summary] = garchfit(ret); garch11<-ret-innovations =    3.066250e-04    1.075012e-04   -1.909928e-04   5.055000e-04 .. Innovations (in help there is also use name "residuals") in Matlab should be the same residuals that those in R (fit@residuals) ? Even when coefficients alpha, beta, omega are same. Also simulation results are totally different. Does R count garch different than Matlab, or just additional mathematical operation are needed? Regards Jano _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. -- If you want to post, subscribe first.       ____________________________________________________________________________________ Looking for last minute shopping deals?           [[alternative HTML version deleted]] _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. -- If you want to post, subscribe first.