[R-SIG-Finance] Starting value of conditional mean and variance

Patrick Burns patrick at burns-stat.com
Sun Oct 4 20:24:54 CEST 2015

I have two possible interpretations
of "starting values":

1) initial values of coefficients given
to the optimizer of the likelihood

2) the value of the conditional variance
at the time point before the first observation

If you are talking about the first, I
think you have little to worry about.
The default optimization in 'rugarch' is
reasonably good.  But there are options
to use different optimizers if you want to
check the quality of the optimum.

If you are talking about the second, then
that won't be an issue as long as you have
enough observations to make estimating a
garch model useful.  See:


On 04/10/2015 16:52, Samit Paul wrote:
> 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.
> Regards,
> Samit Paul
> 	[[alternative HTML version deleted]]
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Patrick Burns
patrick at burns-stat.com
twitter: @burnsstat @portfolioprobe

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