Reputation: 1433
Just like we have the auto.arima()
function of the forecast
package in R that automatically fits the best ARIMA
model to time series data, do we have the equivalent function that does that for a GARCH
model? Take, for instance, simulated time series data as follows:
# simulate a time series data that follows `GARCH(1, 1)
set.seed(1234567)
garch11.sim <- garch.sim(alpha=c(0.02,0.05),beta=.9,n=500)
plot(garch11.sim,type='l',ylab=expression(r[t]),xlab='t')
What I Need*
Is there any R
function that can automatically
select the best GARCH
model for the series garch11.sim
, just like a parody of the auto.arima()
function?
auto.garch(garch11.sim)
Upvotes: 0
Views: 98