[R-SIG-Finance] Parameter estimation for GARCH model in rugarch package

[alexios ghalanos]

Thank you for enlightening us that GARCH models should usually be estimated based on
the ML method. As the author of the package I will strive to convert the estimation 
method from guesswork to ML.

If you take the time to read beyond the description, there is a vignette and documentation which
actually do describe the package and estimation in detail (you only need to search for the word 
likelihood in the vignette to get satisfaction).

-Alexios



On 5 Nov 2013, at 16:50, Yanru Zhang <zhangyanru.anne08 at gmail.com> wrote:

> Hi,
> 
> I have read the rugarch package (in r) description and did not find
> information on how they estimate the parameters for different GARCH models.
> Usually, parameters for the GARCH model should be estimated based on
> maximum likelihood method. Does rugarch package also use the MLE method to
> train the GARCH parameters?
> 
> Thanks,
> Anne
> 
> 	[[alternative HTML version deleted]]
> 
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