Dear all,
First I want to say thanks for the beautiful rugarch package!
I am trying to replicate some results and I would like to know if there is
any adjustment that I can do to run the egarch model with external
regressors using less than 100 observations. I tried to run my model but
returns th
Rather than answer the question, I'll talk past it.
I'm not convinced that it's worthwhile to worry about a garch model with
less than 100 observations. See:
http://www.portfolioprobe.com/2012/09/17/variability-of-garch-estimates/
and the blog post that is referenced in the update.
Good luc
