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Why specify intiial variance when estimating a conditional mean and variance model?

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Danny
Danny 2014-9-27
关闭： MATLAB Answer Bot 2021-8-20
In many MATLAB examples where the estimate function is used to estimate a conditional mean and variance model, the examples usual give an initial value for the constant of the conditional variance model:
load Data_EquityIdx
nasdaq = Dataset.NASDAQ;
r = price2ret(nasdaq);
N = length(r);
model = arima('ARLags',1,'Variance',garch(1,1),... 'Distribution','t');
fit = estimate(model,r,'Variance0',{'Constant0',0.001});
.
I was wondering why, if at all, this initial value is necessary?

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