Dear R users, I am trying to estimate conditional mean and variance of a financial return series using UGARCHSPEC and UGARCHFIt function of "rugarch" package. I am trying to fit basic ARMA(1,1)-GARCH(1,1) with Student - t distribution.
Now, I am not sure how the starting values are considered in this case or whether I need to set it manually. Since the starting value is very important for the estimation purpose, there could be some robust method for calculation of the same. Any help in this regard will be highly appreciated. Regards, Samit Paul [[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.