Message-ID: <4E78E946.3010408@4dscape.com>
Date: 2011-09-20T19:28:06Z
From: Alexios Ghalanos
Subject: Question about rugarch: ARFIMA
In-Reply-To: <CAALU2hsqg8MPuZagxUN_T5eq3qoxQeo+4bK89_vVZGcYHB6+mg@mail.gmail.com>
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]]
>
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