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