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rugarch - warning
Harald Weiss
·
Feb 2, 2013
·
r-sig-finance
Hi R-user group, I'm estimating GARCH models (GARCH and EGARCH) with the rugarch-package. As an error distribution I use the generalized error distribution. Performing a rolling estimation I receive for some days the following warning: "In dged...
rugarch - estimation problem with an external regressor in the GARCH(1, 1) model
Harald Weiss
·
Mar 1, 2013
·
r-sig-finance
Hi R-users, I'm estimating an extended GACH(1,1) model (solver is "nlminb") where realized volatility is added to the variance equation as an explanatory variable. Since the estimated coefficient of realized volatility was very small, I divided...
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