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

Brian G. Peterson brian at braverock.com
Wed Aug 19 20:09:43 CEST 2009

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.


   - Brian

Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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