Choosing a Valid GARCH Model Name in R

Summary

The document explains an error raised when specifying a GARCH model in R with the `rugarch` package. The example uses a standard GARCH variance model with order (1,1), an AR(1) mean component, and external regressors in the variance specification. The reported error says the chosen model is not valid.

The answer points to the package documentation: its variance-model setting accepts a defined set of model names, including sGARCH, fGARCH, eGARCH, gjrGARCH, apARCH, iGARCH, and csGARCH. A value outside that supported list will be rejected. This addresses the immediate configuration issue, but does not explain how to choose among the supported volatility specifications or whether the regressors belong in the variance equation for a particular research question. The example is a software usage clarification rather than evidence comparing model performance.

Key ideas

• The package accepts only specified names for its variance model.
• A model name outside the documented list produces a validity error.
• The example places external regressors in the variance specification and uses an AR(1) mean component.
• The answer resolves the naming issue but does not assess model suitability or regressor placement.

Tags

# Garch(1,1) in R


# Garch(1,1) in R












I'm evaluating the impact of two variables on stock returns. For this I am using a Garch(1,1)-model in RStudio. This is the result I am getting. Why is the garch model not a valid choice? The external regressors are in the variace model, because they are not incorporated in the mean equation.

```
> myspec<-ugarchspec(variance.model=list(model="sGarch", garchOrder=c(1,1),external.regressors=mydata),
+                    mean.model=list(armaOrder=c(1,0),include.mean=TRUE))
Error: 
ugarchspec-->error: the garch model does not appear to be a valid choice.
```

## Answer by Bob Jansen (score 1)

https://quant.stackexchange.com/a/36673

From the docs:

> List containing the variance model specification: model Valid models (currently implemented) are “sGARCH”, “fGARCH”, “eGARCH”, “gjrGARCH”, “apARCH” and “iGARCH” and “csGARCH”.

Other values than the ones listed are never valid.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.