[R-SIG-Finance] rugarch: Initializing an AR1 model fit

[Mickey Petersen]

Hi all,

I'm using the rugarch package in R to fit (among others) an AR1 process, in
turn leading to some risk numbers. Doing the same fit in Matlab, I get
slightly different numbers.

The reason is that the estimated AR1-parameters differ and I've narrowed it
down to differences in the starting conditions for each process.
In other words, in the Matlab script, I specify that the first observation
should be interpreted as a presample response (Y0) and that the AR1 process
should then be fitted to the rest of the time series (1018 observations).
Apparently, leaving out this specification would lead to Matlab
'back-forecasting' Y0 and I presume rugarch does something similar. But the
risk numbers still disagree slightly.

My question is thus two-fold:
- How can I specify the single presample response (Y0) to use in fitting an
AR1 process using arfimafit from rugarch?
- Supplying the whole time series (all 1019 observations), what procedure
does arfimafit then apply as default to estimate the presample response?
Mean? First observation?

Kind regards,
Mickey Petersen

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