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-methodsBest, Eric On Thu, Jul 19, 2018 at 7:32 PM, Mickey Petersen <[email protected]> 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]] > > _______________________________________________ > [email protected] 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]] _______________________________________________ [email protected] 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.
