[R-SIG-Finance] setting persistence upper limit in garchFit()
Patrick Burns
patrick at burns-stat.com
Wed Aug 19 19:48:48 CEST 2009
I don't know the answer to your question,
but I have a guess of what your data are
like. The sum of the two parameters in
garch(1,1) is essentially telling you the
time it takes for the volatility from a
shock to damp down. If there is a trend
in the volatility over the time frame of
the data, then the estimation is likely
to "think" that it hasn't seen the volatility
damp down -- hence an infinite waiting
time and a sum of the parameters more than 1.
More data can often help the problem.
Another piece of software whose existence
I'm doubtful of would be a Bayesian estimate
of the model.
Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of "The R Inferno" and "A Guide for the Unwilling S User")
wc90024-email at yahoo.com wrote:
> I'm using garchFit() on a volatile time series. I'd like to set a limit such that the SUM(alpha, beta) < 1. Is there a way to configure that by passing a parameter into garchFit()? Or is there another way to do it? Thanks.
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