[R-SIG-Finance] "ugarchfit" function of "rugarch" package needs at least 100 data points.

Patrick Burns patrick at burns-stat.com
Tue Oct 9 22:04:47 CEST 2012

The blog post:


shows how variable garch results are using
2000 daily observations.

Even if there is a way to get your model fit,
I doubt that it would mean very much.

If you do find a way, I would suggest that you
create multiple datasets that are simulations of
the model the same size as your data.  Then estimate
the model on the simulations and see how variable
those model estimates are.  They will be very
variable, I predict.


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.

Patrick Burns
patrick at burns-stat.com
twitter: @portfolioprobe

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