A question regarding the mcsGARCH model coding
You've really not provided enough information for me to help you. I suggest: 1. Read the vignette (http://cran.r-project.org/web/packages/rugarch/index.html) entry on the mcsGARCH model which provides instructions on how to format and supply the DailyVar data (which must be of type xts and matched to the dates of the data). 2. Make sure you set your timezone. 3. Don't just run the blog code (which last time I checked works just fine), but try to see how the data is used and time indices matched. Regards, Alexios
On 09/09/2013 20:20, Yanru Zhang wrote:
Hi, I am very interested in GARCH modelling filed and I was trying to fit the mcsGARCH model to my data. I was following the code in this website: http://www.unstarched.net/2013/03/20/high-frequency-garch-the-multiplicative-component-garch-mcsgarch-model/ Everything works OK until I try to fit the mscGARCH model using following code: fit = ugarchfit(data = data_ts, spec = spec, DailyVar = f_sigma^2) It comes with an error: Error in !matchD : invalid argument type I am not pretty sure what this message means. I greatly appreciated your help! Sincerely, Anne [[alternative HTML version deleted]]
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