[R-SIG-Finance] setting persistence upper limit in garchFit()

[Brian G. Peterson]

Patrick Burns wrote:
> 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.
>
http://cran.r-project.org/web/packages/bayesGARCH/index.html

perhaps?

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock