Hi, Thanks for all the great effort put into Rmetrics. I apprciate the Rmetrics package is a work-in-progress, so the following observation may be redundant. Following the Journal of Statistical Software article "Parameter estimation of ARMA...." I notived that garchSim does not accept results of garchSpec as input. I get the follwoing error: "Error in h^deltainv * z : non-numeric argument to binary operator" It turns out that in garchSpec cond.dist="dnorm" is OK, but garchSim requires/uses cond.dist="rnorm" and this generates the error message above. It would be nice if both functions accepted both or just one, but it's not a show stopper. Hope that helps. Thanks again. Regards Mark -- Mark Van De Vyver, PhD -------------------------------------------------- My research is available from my SSRN Author page: http://ssrn.com/author=36577 -------------------------------------------------- Finance Discipline School of Business The University of Sydney Sydney NSW 2006 Australia Telephone: +61 2 9351-6452 Fax: +61 2 9351-6461
cond.dist conflict between garchSim and garchSpec
1 message · Mark Van De Vyver