Daniel James
Daniel James

Reputation: 1433

Is There an R Function that Automatically Fits the Best GARCH Model to a Time Series Data?

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')

Plot given here

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

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