x <- rt.d # daily returns
型号规格
spec3 <- ugarchspec(variance.model = list(model="sGARCH", garchOrder = c(1,1)),
mean.model=list(armaOrder=c(0,0)))
模型估算
fit3 <- ugarchfit(data = x, spec = spec3)
显示结果
show(fit3)
显示条件波动的估计值：sigma_t
windows()
plot(fit3, which=1)