rugarch - warning
Hi Harry, This is nothing to worry about. The solver is visiting the default lower bounds for the GED shape which are admittedly too small (0.01). Until I change the defaults, simply change them as follows: setbounds(gspec.ru)<-list(shape=c(0.1, 3)) Best, Alexios PS A new version (1.01-3) in the google code repository contains substantial improvements including exclusive use of xts (and returning xts objects) as well as a uniform set of extractor methods (sigma and fitted on almost all objects). Please try out/test and report any problems on the support page there.
On 02/02/2013 21:32, Harald Weiss wrote:
Hi R-user group,
I'm estimating GARCH models (GARCH and EGARCH) with the rugarch-package.
As an error distribution I use the generalized error distribution.
Performing a rolling
estimation I receive for some days the following warning:
"In dged(x, nu = shape) : value out of range in 'gammafn'"
The estimation results seem useful. I'm not sure whether I could use the
results.
I know that by using the solver "nloptr" the warning disappears
(unfortunately,
the warning occurs for other periods). I also know that the the gamma
function in R
is defined for x<=171 (perhaps this will explain the warning, but I
don't understand
how). So, my question is whether the results are feasible or not.
Thanks,
Harry
My code is:
DATA <- read.table("test-rugarch.csv",header=FALSE,sep=";")
RDAX <- DATA[,1]
D <- matrix(RDAX)
for (i in 471:471) {
ende <- 500+i
start <- ende-499
RDAXtmp <- D[start:ende,1]
gspec.ru <- ugarchspec(variance.model=list(model="sGARCH",
garchOrder=c(1,1)),
mean.model=list(arfima=FALSE, armaOrder=c(0,0), include.mean=TRUE),
distribution="ged")
gfit <- ugarchfit(gspec.ru, RDAXtmp, fit.control = list(stationarity = 1))
forc <- ugarchforecast(gfit, n.ahead=1)
}
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