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

[Eric Berger]

Hi Mickey,
I don't have a full answer but I have a pointer.
In the rugarch documentation there is an argument n.start ("The burn-in
sample") which could be relevant.
Check out
?arfimadistribution-methods

Best,
Eric


On Thu, Jul 19, 2018 at 7:32 PM, Mickey Petersen <mickeyzkp using gmail.com>
wrote:

> 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
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance using r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

	[[alternative HTML version deleted]]