Problem with ugarchroll
Hi Owe, I have tracked down the bug, which only affects the fGARCH model, and will upload to r-forge soon (should be available to download in the next cycle of checks/builds on r-forge). In the meantime, you can should use this equivalent specification: gjr.spec = ugarchspec(variance.model = list(model = "gjrGARCH", garchOrder = c(2,2)),mean.model list(armaOrder=c(1,1))) There is no reason to use the fGARCH spec for models which are already implemented seperately (i.e. the gjr and aparch models) since it is more highly parametrized (being an omnibus model) and there will be a little more overhead in estimation. Hope that helps. Regards, Alexios Ghalanos
On 3/13/2010 2:00 PM, Owe Jessen wrote:
Hi,
i've got a problem with ugarchroll from rgarch - can anybody help me
explain what the following error message means and how i might
circumvent the problem?
Done!...all converged.
Fehler in ans$z : $ operator is invalid for atomic vectors
Zus?tzlich: Warnmeldung:
In arima(data, order = c(armap, 0, armaq), include.mean = include.mean, :
possible convergence problem: optim gave code=1
Here's some code:
require(rgarch)
require(quantmod)
getSymbols("^GDAXI", src="yahoo", from=1991-01-02)
r <- dailyReturn(GDAXI)
r.out <- window(r, start="2007-07-01")
n.out <- length(r.out)
gjr.spec = ugarchspec(variance.model = list(model = "fGARCH", garchOrder
= c(2,2),submodel="GJRGARCH"),mean.model =
list(armaOrder=c(1,1)),distribution.model= dist)
gjr.roll <- ugarchroll(gjr.spec,
r,n.ahead=10,forecast.length=n.out,refit.window="moving")
Thanks in advance.
Owe