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

Brian G. Peterson brian at braverock.com
Thu Oct 1 18:37:00 CEST 2015

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.



Brian G. Peterson
Ph: 773-459-4973
IM: bgpbraverock

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