In the limit they should be. You may want to read this section:
https://bookdown.org/compfinezbook/introcompfinr/maximum-likelihood-estimation.html If you want to impose that the mean equals the sample mean, you can set the parameter as fixed. Alexios > On May 4, 2023, at 1:57 PM, Simon Rhodes <[email protected]> wrote: > > 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 <[email protected] > <mailto:[email protected]>> 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 <[email protected] >>> <mailto:[email protected]>> 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]] >>> >>> _______________________________________________ >>> [email protected] <mailto:[email protected]> 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]] _______________________________________________ [email protected] 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.
