help with ugarchsim error
This is likely related to the standardized data you are passing to the simulation function. For instance, this _minimally reproducible example_ produces no problems: data(sp500ret) fit = ugarchfit(ugarchspec(), sp500ret) simz = rnorm(1000000) sim = ugarchsim(fit, n.sim=1000000, m.sim=1, startMethod="sample", n.start=0, custom.dist=list(name="sample", distfit=matrix(simz, ncol=1))) So you need to check the values of your "SPD.sim.1" i.e. that they contain no NA's, Inf etc. Alexios
On 25/02/2015 18:28, Gareth McEwan wrote:
Hi there
I was wondering if anyone can help me with an error that is thrown from the
ugarchsim() function in the rugarch package. I have used this function a
number of times in the past with success, so I am unsure of why it is
throwing an error now.
The error is:
"Error in .sgarchsim1(fit = fit, n.sim = n.sim, n.start = n.start, m.sim =
m.sim, :
ugarchsim-->error: error in calling C function...."
I have loaded in:
library(rugarch)
library(Rcpp)
library(RcppArmadillo)
My code is:
sim.ALSI.SPD = ugarchsim(garchfit.ALSI, n.sim=1000000, m.sim=1,
startMethod="sample", n.start=0,
custom.dist=list(name="sample",
distfit=matrix(SPD.sim.1, ncol=1)))
where:
"garchfit.ALSI" is my variable from the ugarchfit(...) function;
SPD.sim.1 = qspd(u.SPD.1, fit.ALSI) - a set of standardized residuals;
with u.SPD.1 = pt(x.SPD.1, df=7.2137167865) - a set of uniform variates;
"x.SPD.1" a column of simulated data from a previous copula fit;
"fit.ALSI" is my fitted object from "spdfit( standardized GARCH residuals,
... )"
Any ideas for a solution, or why the function is now throwing an error?
Many thanks
Gareth
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.