Hi, I'm working with a sample that has a strong weekly seasonality and wonder if rugarch can handle a multiplicative ARIMA(p,d,q)P,D,Q)s. I tried additive seasonal model for which I simply put 51 dummy variables as external regressors into the mean but, alas, the model does not converge (rugarch-->warning: failed to invert hessian) with or without dummies. Here is my script: spec1111 = ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1,1)), mean.model = list(armaOrder = c(1,1), include.mean = T, external.regressors = X), distribution.model = "sged") fit1111<-ugarchfit(data=inp[,2], spec=spec1111, solver = "hybrid", solver.control = list(trace = TRUE, tol=1e-4, delta=1e-6)) Thanks! Alec
seasonality in rugarch
1 message · Alec Schmidt