I haven't studied the issue with ARIMA, but it is my belief that it is even less of an issue there.
Maybe someone on the list has looked into it and has a better sense of the sensitivity -- rather than being like the rest of us and not worrying about it because no one else does. Pat On 05/10/2015 04:43, Samit Paul wrote:
Thanks a lot Pat, I was more concerned about the second issue which you have pointed out well. From the link given (thanks again for the same), I understand that if the number of observations are more (around 2000), choice of starting value won't matter much in conditional variance estimation by GARCH(1,1) model. But is the same logic applicable for conditional mean estimation with the help of ARIMA model, too? Or do I have to take any precaution for the same? Best regards, Samit Paul On Sun, Oct 4, 2015 at 11:54 PM, Patrick Burns <patr...@burns-stat.com <mailto:patr...@burns-stat.com>> wrote: I have two possible interpretations of "starting values": 1) initial values of coefficients given to the optimizer of the likelihood 2) the value of the conditional variance at the time point before the first observation If you are talking about the first, I think you have little to worry about. The default optimization in 'rugarch' is reasonably good. But there are options to use different optimizers if you want to check the quality of the optimum. If you are talking about the second, then that won't be an issue as long as you have enough observations to make estimating a garch model useful. See: http://www.portfolioprobe.com/2012/07/06/a-practical-introduction-to-garch-modeling/ Pat On 04/10/2015 16:52, Samit Paul wrote: 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 <mailto: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. -- Patrick Burns patr...@burns-stat.com <mailto:patr...@burns-stat.com> http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @burnsstat @portfolioprobe
-- Patrick Burns patr...@burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @burnsstat @portfolioprobe _______________________________________________ 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.
