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

[alexios]

Hi,

arima is only used to obtain mean equation starting values for the joint 
recursion which is then ML based. Your best bet is to try using 
solver="gosolnp" which searches the parameter space for good starting 
values.
Also, try setting variance.targeting=TRUE (in variance.model), and 
fit.control=list(scale=1).

Ofcourse, this is all dependent on using a reasonable amount of data for 
the estimation (already discussed numerous times over the years).

Regards,

Alexios

On 21/01/2015 10:38, Andreas Keller Leth Laursen wrote:
> 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
>
> 	[[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>
>