[R-SIG-Finance] Rugarch non convergent forecasts.

Evgeny Laba playtawin at yandex.com
Thu Oct 1 18:29:09 CEST 2015

Hi everybody,

I’m doing some VaR backtesting with garch modeling applied to stocks using rugarch package, my backtesting period is 10 years and my moving.window length is 252 & refitting parameter is one, so unsurprisingly that setup and forecast length result in some few non converged samples in some series (no more than 100), so my question is what is the best practice, rule of thumb etc., in case if I want to fill these gaps??? Changing refitting parameter to higher number, say 30 or 50 eliminate non convergence, but of cause the forecasting result is significantly different in that case…     

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