Question about rugarch: ARFIMA
Hi John. Thanks for reporting this. I'll have a fix on r-forge later tonite, and a new version on CRAN by tomorrow. Best, Alexios
On 20/09/2011 19:33, John Kerpel wrote:
I'm using the most excellent rugarch package to build some ARFIMA models.
My code (mostly lifted from the examples) is the following:
fit<- vector(mode = "list", length = 9)
dist<- c("norm", "snorm", "std", "sstd", "ged", "sged", "nig", "ghyp",
"jsu")
for(i in 1:length(dist)){
spec<- arfimaspec(mean.model = list(armaOrder = c(1,1), include.mean =
TRUE,
arfima = *TRUE*), distribution.model = dist[i])
fit[[i]]<- arfimafit(spec = spec, data = x,solver = "solnp", out.sample =
307,
fit.control = list(scale = 1))
}
forc = vector(mode = "list", length = 9)
for(i in 1:9){
forc[[i]] = arfimaforecast(fit[[i]], n.ahead = 1, n.roll = 306)
}
#After I run the for loop for forc I get the following message:
There were 50 or more warnings (use warnings() to see the first 50)
warnings()[1]$`longer object length is not a multiple of shorter object length`
x - mu When I set the arfima=TRUE statement to arfima=FALSE in the spec object, I don't have this problem. Any advice? Thx! John [[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.