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Cgarch #3
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The docs now show presence of cgarch process and longterm variance attribute
CGARCH starting values search space was too small.rho now includes 0.65
Convergence is difficult for garch models because of the samll values
Codecov Report
@@ Coverage Diff @@
## master #3 +/- ##
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+ Coverage 97.17% 97.18% +<.01%
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Files 33 33
Lines 8503 8512 +9
Branches 771 772 +1
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+ Hits 8263 8272 +9
Misses 150 150
Partials 90 90
Continue to review full report at Codecov.
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2 similar comments
It turns out that not scaling my data was the reason the solver could not find a direction to descend to.This could not be fixed by tweaking starting values or bounds. Now bunds have been returned to their text book versions.
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This improves the starting values for cgarch and adds the example notebook