I am using the
fGARCh package in R to analyze volatility of stock returns. More precisely I am using a
garch(1, 1) fit. The code looks like this:
GARCH11<-garchFit(formula = ~garch(1, 1), data = Returns.zoo, trace = FALSE)
Returns.zoo is my time series.
Now I know the interpretation of GARCH@h.t and GARCH@sigma.t. But what does GARCH@fitted tell me in relation to the time series and why is the value equal at all times?
I would be very relieved if someone could enlighten me. Thanks very much!