Here you will find daily news and tutorials about R, contributed by over 573 bloggers.
There are many ways to follow us - By e-mail:On Facebook: If you are an R blogger yourself you are invited to add your own R content feed to this site (Non-English R bloggers should add themselves- here)

As part of an on-going paper with Kerrie Mengersen and Pierre Pudlo, we are using a GARCH(1,1) model as a target. Thus, the model is of the form

which is a somehow puzzling object: the latent (variance) part is deterministic and can be reconstructed exactly given the series and the parameters. However, estimation is not such an easy task and using the garch() function in the tseries package leads to puzzling results! Indeed, simulating data shows some high variability of the procedure against starting values: