rugarch: Mean model used for armaOrder(0,0)
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 <alexios at 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.rhodes at 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]]
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