rugarch problem
The session info indicates that you have NOT installed the latest version. If you don't know how to install a package manually there are plenty of helpful resources in the general R-help list and manuals. -Alexios
On Mar 21, 2013, at 0:16, Fernando Aiube <aiube at puc-rio.br> wrote:
Please, Again running the code, the problem is the same using the latest version. library(rugarch) spec = ugarchspec() data(sp500ret) fit = ugarchfit(spec = spec, data = sp500ret) show(fit) The answer is
library(rugarch)Loading required package: RcppLoading required package: RcppArmadilloLoading required package: parallelLoading required package: numDerivLoading required package: chronLoading required package: RsolnpLoading required package: truncnormPackage Rsolnp (1.14) loaded. To cite, see citation("Rsolnp")
spec = ugarchspec()> data(sp500ret)> fit = ugarchfit(spec = spec, data = sp500ret)Warning message:In .sgarchfit(spec = spec, data = data, out.sample = out.sample, :
ugarchfit-->warning: solver failer to converge.> show(fit) *---------------------------------* * GARCH Model Fit * *---------------------------------* Conditional Variance Dynamics ----------------------------------- GARCH Model : sGARCH(1,1) Mean Model : ARFIMA(1,0,1) Distribution : norm Convergence Problem: Solver Message:
sessionInfo()R version 2.15.3 (2013-03-01)
Platform: i386-w64-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 [2] LC_CTYPE=English_United States.1252 [3] LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C [5] LC_TIME=English_United States.1252 attached base packages: [1] parallel stats graphics grDevices utils datasets [7] methods base other attached packages: [1] rugarch_1.0-16 Rsolnp_1.14 [3] truncnorm_1.0-6 chron_2.3-43 [5] numDeriv_2012.9-1 RcppArmadillo_0.3.800.1 [7] Rcpp_0.10.2 loaded via a namespace (and not attached): [1] tools_2.15.1 ========================================================================== And using another computer the problem is the same. Can anyone help me? Thanks for your patience. Best Fernando Aiube http://www.blogdolivro-aiube.blogspot.com/<http://www.ind.puc-rio.br/pagina_professores.aspx?id=faiube> --------------------------------------------------------------- Pontif?cia Universidade Cat?lica do Rio de Janeiro Departamento de Engenharia Industrial Rua Marques de S?o Vicente, 225 22453-900 - G?vea Rio de Janeiro - RJ Telefones: (5521) 3527-1284, 3527-1285 Fax: (5521) 3527-1288 http://www.ind.puc-rio.br/pagina_professores.aspx?id=faiube <http://www.ind.puc-rio.br/pagina_professores.aspx?id=faiube> email: aiube at puc-rio.br [[alternative HTML version deleted]]
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