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Re: Question about ARMA in new C# version of Suanshu

Home 21090308 Forums Re: Question about ARMA in new C# version of Suanshu

#2228
haksunli
Keymaster

For the initial sigma_{t-1}, we can start with sigma_0 ^ 2 = a_0 / (1 – alpha_1 – beta_1) for GARCH(1, 1), i.e., the theoretical asymptotic value. The k-step-ahead prediction converges to this limit when k approaches infinity. Note that for GARCH(p, q), let r = max(p, q), then sum_{i = 1}^r (alpha_i + beta_i) < 1.