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.rho...@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 > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@r-project.org 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]] _______________________________________________ R-SIG-Finance@r-project.org 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.
