Why do I obtain different results fitting a GARCH process using the UGARCH and GARCHFIT functions?

I have tried to use the UGARCH function in the Financial Toolbox and the GARCHFIT function in the GARCH Toolbox to fit a GARCH process. However, the two functions return different results despite the same data being used.

Answer 1

[MathWorks Support Team]

The UGARCH and GARCHFIT functions implement the GARCH model fitting process differently. The two functions use different optimization objective functions in their implementations. Therefore, although both functions provide the same functionality, the differences between their implementations may result in different results at times. However, most of the time, their results should be similar.