Comments (3)
bashtage
commented on May 16, 2024
I believe omega > 0. These are not good starting values since alpha=gamma=0 implies no dynamics.
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jonathanng
commented on May 16, 2024
I added some break points to figure out why, and I found that beta[1] was also an issue.
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bashtage
commented on May 16, 2024
Yes, alpha+0.5gamma+beta<1
On Fri, Aug 7, 2015 at 4:00 PM JPN [email protected] wrote:
I added some break points to figure out why, and I found that beta[1] was
also an issue.—
Reply to this email directly or view it on GitHub
#85 (comment).
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Related Issues (20)
- Issues with the 'rescale' parameter HOT 3
- Rolling window forecast with rolling demean HOT 3
- Exogenous variable in the Volatility Equation HOT 1
- ENH: Add NGARCH specification to set of volatility processes
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- My scratch implementation does not match the result for EGARCH HOT 1
- Tests fail: ImportError while loading conftest '/usr/ports/science/py-arch/work-py39/arch-6.1.0/arch/conftest.py'. HOT 3
- Probably bug in FIGARCH implementation with horizon > 1 HOT 1
- ModuleNotFoundError: No module named 'arch' when importing arch_model HOT 7
- add topic garch
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- `arch_model` estimator is forecasting same value irrespective of the `horizon` parameter. HOT 2
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- volatility forecast in comparison with realized volatility HOT 3
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- Source for Long Run Covariance Estimator
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