Dear R-SIG-Finance team
Hello!
I read the following from DataCamp
"The estimation of a GARCH model requires to optimize the likelihood. This
optimization may fail in case of bad starting values. Fortunately, Alexios
Ghalanos, the author of the R package rugarch, did a great job in setting
the optimization defaults such that the optimization is accurate in most of
the cases.".
So I am curious about what is the optimization defaults (or starting
values).
Especially when I use `ugarchroll()` for 1-ahead forecasting by repeating
fitting in ARMA-GARCH model.
Thank you!
Best regard,
Sunyoung Ji
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