[R-SIG-Finance] Passing optim.control arima arguments to ugarchfit in rugarch

[Andreas Keller Leth Laursen]

Dear all

I am currently estimating a number of GARCH models using the excellent
rugarch package.

I am however having a small problem, as the mean equation has convergence
problems. It is a simple ARMA(6,5) model, that is being used as mean
equation.

When estimating the mean equation, I understand that ugarchfit() use the
standard arima() function. Is there a way to pass optim.control arguments
to the arima solver? A simple increase in the default maxit should solve
the problem, but I cannot figure out if there is a way to pass this
argument.

As a small hack I have tried to simply give the arma(6,5) estimates as
stating values to ugarchspec() using arima() with a higher maxit.
However, ugarchfit() still reports convergence problems in the mean
equation, when I attempt this.

Any help will be much appreciated.

Current code:

arima_start_val <- arima(input_series, order = c(6, 0, 5), optim.control =
list(maxit = 2000)) %>%
    coef %>%
    as.list

names(arima_start_val) <- c("ar1", "ar2", "ar3", "ar4", "ar5", "ar6",
"ma1", "ma2", "ma3", "ma4",     "ma5", "mu")

model <- ugarchspec(
    variance.model = list(model = "sGARCH",  garchOrder = c(1, 1)),
    mean.model = list(armaOrder = c(6, 5)),
    start.pars = arima_start_val,
    distribution = "norm")

ugarchfit(spec = model, data = input_series)

Best regards,
Andreas Keller

--
Andreas Keller

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