Message-ID: <CAHAR1uOCXmiOrsC7dJCZXgrfZGuv9HQZ51PX_nmWcqWP8hc9vg@mail.gmail.com>
Date: 2023-05-04T20:57:54Z
From: Simon Rhodes
Subject: rugarch: Mean model used for armaOrder(0,0)
In-Reply-To: <354EAC49-EF62-4DDB-B702-C645A2C149CB@4dscape.com>
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]]
>
> _______________________________________________
> R-SIG-Finance at 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]]