Is there a reason why the estimate for the mean would be different from the sample mean of the data? I seem to be getting results for mu, when using armaOrder(0,0) and include.mean=true, which are relatively different from the sample mean of my data. Similarly, when I simulate that model I get a simulation mean close to mu and not the sample mean of the data.
Thanks, Simon On Tue, May 2, 2023 at 3:54 PM Alexios Galanos <alex...@4dscape.com> wrote: > 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.