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

[Brian G. Peterson]

On Thu, 2015-10-01 at 19:29 +0300, Evgeny Laba wrote:
> 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…  

I would generally suggest a larger rolling window, or an expanding
window, for your estimates.  Windowing effects can be quite severe on
daily data, so for volatility forecasts I would tend towards larger data
sets rather than smaller ones.

Regards,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock