[R-SIG-Finance] Starting value of conditional mean and variance
samitpaulin at gmail.com
Sun Oct 4 17:52:07 CEST 2015
Dear R users,
I am trying to estimate conditional mean and variance of a financial return
series using UGARCHSPEC and UGARCHFIt function of "rugarch" package. I am
trying to fit basic ARMA(1,1)-GARCH(1,1) with Student - t distribution.
Now, I am not sure how the starting values are considered in this case or
whether I need to set it manually. Since the starting value is very
important for the estimation purpose, there could be some robust method for
calculation of the same.
Any help in this regard will be highly appreciated.
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