Problems in Estimating GARCH Parameters in R (Part 2; rugarch)


Now here is a blog post that has been sitting on the shelf far longer than it should have. Over a year ago I wrote an article about problems I was having when estimating the parameters of a GARCH(1,1) model in R. I documented the behavior of parameter estimates (with a focus on \beta) and perceived pathological behavior when those estimates are computed using fGarch. I called for help from the R community, including sending out the blog post over the R Finance mailing list.

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