Spencer, take any data series and run garch vs. garchFit with various sample
size, and you will see garch needs a lot more data points to get a good fit.
Anyway, it probably doesn't matter if one always use a sample size
of >2,000. I was just courious.

On 2/12/08, Spencer Graves <spencer.graves@pdf.com> wrote:
>
> Why do you say that 'garch' requires more observations than 'garchFit'?
> Can you outline documentation or tests you've performed?
>
> Spencer
>
> tom soyer wrote:
> > Hi,
> >
> > It seems that the minimum sample size required by garch is much larger
> than
> > garchFit, does anyone know why? I am guessing between 1,000 and 2,000
> for
> > garch and ~500 for garchFit. Does anyone know the exact minimum sample
> size
> > for each?
> >
> > Thanks!
> >
> >
>



-- 
Tom

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