Hi all,
While trying to bootstrap a TGARCH model of orders (1,1), using the rugarch
package, I get the following error:
.fgarchsim2(fit = fit, n.sim = n.sim, n.start = n.start, m.sim = m.sim, :
ugarchsim-->error: presigma must be of length 2
I only get the error when my ARMA model for the mean is of order 2 or higher
(in p, q or both). Curious whether this is a bug that anyone has documented
before. If not, I would be happy to provide my code and data sample. It
could also be a mis-specification in my model and/or an error in the code of
course.
Best,
Stoyan
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