Hello all, 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: https://ntguardian.wordpress.com/2019/01/28/problems-estimating-garch-parameters-r-part-2-rugarch/
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, Curtis Miller _______________________________________________ [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.
