The default floor on ν. arch allows 2.05, but a t variance is
scale²·ν/(ν − 2): near 2 it is barely defined and its forecast explodes —
fitted freely, AAPL and IOVA came out at ν̂ ≈ 2.1–2.5, most of their early
origins not converging and the forecast worse than naive. At 4 the kurtosis is
still infinite but the variance forecast is stable.
The default floor on ν.
archallows 2.05, but a t variance is scale²·ν/(ν − 2): near 2 it is barely defined and its forecast explodes — fitted freely, AAPL and IOVA came out at ν̂ ≈ 2.1–2.5, most of their early origins not converging and the forecast worse than naive. At 4 the kurtosis is still infinite but the variance forecast is stable.