[R-SIG-Finance] rugarch: Mean model used for armaOrder(0,0)

[Alexios Galanos]

Yes, the additional argument ‘include.mean’ which defaults to TRUE does exactly that, estimating this value.

If you are estimating a GARCH model with no ARMA terms then you may also like to try out the newly released tsgarch package (https://github.com/tsmodels/tsgarch)

Alexios


> On May 2, 2023, at 11:25, Simon Rhodes <si.g.rhodes using gmail.com> wrote:
> 
> I had a question about what model is used for the mean when armaOrder is
> set to (0,0). Am I correct in assuming it is simply the mean of the data?
> If not, is there a way to specify that the mean of the sample should be
> used as the mean for the model?
> 
> 
> Thanks,
> Simon
> 
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