Message-ID: <1378223541459-4675275.post@n4.nabble.com>
Date: 2013-09-03T15:52:21Z
From: leopoldo.catania
Subject: Fitting a DCC-GARCH with more than one external regressor per single process using rmgarch
Hi,
I'm trying to fit a dcc model using the rmgarch package, but when I put in
the variance equation more than one external regressor the dccfit fails.
Estimating one by one the single process (is an eGARCH(1,1)) there are no
problems using more than one external regressor.
I tryied also to use the "fit" parameter in the dccfit() command, but
nothing change, the error still remain the same.
Estimating the DCC insering only one external regressor in each single
process works great.
the dccfit() command reports:
Error in `rownames<-`(`*tmp*`, value = c("mu", "ar1", "ma", "arfima", :
length of 'dimnames' [1] not equal to array extent
Best regards,
Leopoldo Catania.
Below the complete dcc garch specification
> spec
[[1]]
*---------------------------------*
* GARCH Model Spec *
*---------------------------------*
Conditional Variance Dynamics
------------------------------------
GARCH Model : eGARCH(1,1)
Variance Targeting : FALSE
Exogenous Regressor Dimension: 2
Conditional Mean Dynamics
------------------------------------
Mean Model : ARFIMA(1,0,0)
Include Mean : FALSE
GARCH-in-Mean : FALSE
Conditional Distribution
------------------------------------
Distribution : std
Includes Skew : FALSE
Includes Shape : TRUE
Includes Lambda : FALSE
[[2]]
*---------------------------------*
* GARCH Model Spec *
*---------------------------------*
Conditional Variance Dynamics
------------------------------------
GARCH Model : eGARCH(1,1)
Variance Targeting : FALSE
Exogenous Regressor Dimension: 2
Conditional Mean Dynamics
------------------------------------
Mean Model : ARFIMA(1,0,0)
Include Mean : FALSE
GARCH-in-Mean : FALSE
Conditional Distribution
------------------------------------
Distribution : std
Includes Skew : FALSE
Includes Shape : TRUE
Includes Lambda : FALSE
> mspec = multispec( spec )
> mspec
*-----------------------------*
* GARCH Multi-Spec *
*-----------------------------*
Multiple Specifications : 2
Multi-Spec Type : equal
> multispec=dccspec(mspec,model="DCC")
> multispec
*------------------------------*
* DCC GARCH Spec *
*------------------------------*
Model : DCC(1,1)
Estimation : 2-step
Distribution : mvnorm
No. Parameters : 19
No. Series : 2
> a=as.xts(industry.tf.list[[tf]][,1:2])
> dccfit.industry.tf[[q]]=dccfit(multispec,a)
Error in `rownames<-`(`*tmp*`, value = c("mu", "ar1", "ma", "arfima", :
length of 'dimnames' [1] not equal to array extent
--
View this message in context: http://r.789695.n4.nabble.com/Fitting-a-DCC-GARCH-with-more-than-one-external-regressor-per-single-process-using-rmgarch-tp4675275.html
Sent from the Rmetrics mailing list archive at Nabble.com.