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

[Simon Rhodes]

Is there a reason why the estimate for the mean would be different from the
sample mean of the data? I seem to be getting results for mu, when using
armaOrder(0,0) and include.mean=true, which are relatively different from
the sample mean of my data. Similarly, when I simulate that model I get a
simulation mean close to mu and not the sample mean of the data.

Thanks,
Simon

On Tue, May 2, 2023 at 3:54 PM Alexios Galanos <alexios using 4dscape.com> wrote:

> 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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