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Passing optim.control arima arguments to ugarchfit in rugarch
Andreas Keller Leth Laursen
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Jan 21, 2015
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r-sig-finance
Dear all I am currently estimating a number of GARCH models using the excellent rugarch package. I am however having a small problem, as the mean equation has convergence problems. It is a simple ARMA(6,5) model, that is...
Passing optim.control arima arguments to ugarchfit in rugarch
Andreas Keller Leth Laursen
·
Jan 21, 2015
·
r-sig-finance
Ah, a misunderstanding on my part. Of course it makes perfect sense that they are jointly estimated. Thanks for the suggestions and the swift response. Best regards, Andreas -- Andreas Keller M.Sc. student in Economics and Management On Wed, Jan...
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