[R-SIG-Finance] GARCH parameter estimation with rugarch: estimates seem inaccurate
cgm|| @end|ng |rom m@n@com
Mon Jan 28 17:23:09 CET 2019
Over a year ago I wrote a blog post about the problems I was having
estimating the parameters of GARCH models via fGarch. I got a lot of
feedback and I've now followed up with another article taking that
feedback into account:
First, I switched from fGarch to rugarch, which is supposedly still
maintained. I also looked at other parameter combinations in simulation
experiments that others requested.
It seems that rugarch isn't necessarily better when it comes to
parameter accuracy and one needs a lot of data (in the order of
thousands) to get good estimates of the parameter values. That said, CIs
computed are highly unreliable even at large sample sizes and there is
certainly no "silver bullet" optimization algorithm.
I'd like feedback if I'm not doing things right. I heard once that
others could not replicate my results; that is, they have reliable
estimates for GARCH parameters. But I never found out who those people
were and they did not give me their code to see what I was doing wrong.
If the community is aware of better approaches, I would like to hear
them as well.
Thank you all,
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