From the help file for garch, you can see
that the conditional standard deviations are in the sigma.t component. You can
extract this component directly as G$sigma.t or by using the sigma.t()
extractor: sigma.t(G).
ez
-----Original Message-----
From:
s-news-owner@lists.biostat.wustl.edu
[mailto:s-news-owner@lists.biostat.wustl.edu] On
Behalf Of Samir Saadi
Sent: Tuesday, August 16, 2005
5:19 PM
To: s-news@wubios.wustl.edu
Subject: [S] Quick Question
Hello everyone:
I have financial time series that I
modeled using GARCH:
G=garch(D.df~ar(12),
~garch(1,1), na.omit, trace=F)
Can anyone please tell how I can get
the values of the CONDITIONAL STANDARD DEVIATION (CSD)?
I can get the plot of CSD but I
can't figure out how to get their values.
Thanks in advance !!!
SamSaadi@management.uottawa.ca