garch vs garchFit - minimum sample size
Why do you say that 'garch' requires more observations than 'garchFit'? Can you outline documentation or tests you've performed? Spencer
tom soyer wrote:
Hi, It seems that the minimum sample size required by garch is much larger than garchFit, does anyone know why? I am guessing between 1,000 and 2,000 for garch and ~500 for garchFit. Does anyone know the exact minimum sample size for each? Thanks!