[R-SIG-Finance] "ugarchfit" function of "rugarch" package needs at least 100 data points.
alexios at 4dscape.com
Tue Oct 9 21:59:03 CEST 2012
To have an 'accurate' estimate of the persistence of a GARCH process you
really do need more than 100 datapoints, and anything less than this is
not likely to be informative or accurate, and might even fail to
converge. More generally, in the approach adopted by the rugarch package
(frequentist), the question of determining the presence of GARCH
dynamics is difficult to answer with very few datapoints. Instead, if
you insist on using GARCH, with limited history monthly data, my
suggestion is to try one of the Bayesian packages (try the bayesGARCH
package or LaplacesDemon, the latter has extensive examples including
how to fit a number of GARCH models).
On 09/10/2012 19:58, Tanvir Khan wrote:
> Right now I'm trying to fit a GJR Garch model on the inflation rate of my
> country, Bangladesh, but the problem is the function "ugarchfit" of the
> "rugarch" package requires at least 100 data points to run. I have yearly
> (12 months average) data and my country is not even 50 years old! So, is
> there any way to use this function to fit a data with less than 100
> observations? Any type of suggestion will be extremely helpful.
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