Hi Alexios and team,
I am using racd in modelling time varying higher moments for a daily return
of SP500 since 2000.
I tried to used msoptim solver with n.sim = 10000. I am now considering
skewed t ("sstd"), NIG and SGED distribution.
I got this warning message :" In .acdmakefitmodel(acdmodel = fname, f = fun,
T = T, m = m, timer = timer, :
NaNs produced"
Then, when I plot the skewness and kurtosis parameter from estimated models,
they varies in the similar manner but in a large different value. For
example, kurtosis in sstd distribution is between 1 - 100, kurtosis of NIG
is even between 1-300.
Is there anything wrong with my estimation that relate to surprising
differences in kurtosis and skewness estimated value?
Thanks in advance
Trung