[rugarch] error in ugarchfit due to external regressors

I have the very same problem, even with 'external.regressors=NULL' option.
Has it been solved already? Thank you.

alexios wrote
Send me your exact code and dataset used (if possible) off-mailing list
and I'll take a look.

Alexios

On 26/11/2013 12:14, tvernay wrote:
Thanks for this suggestion Alexios. I am now running the latest rugarch
version from r-forge (1.2-9) but the error remains. Basically, this error
is
described as a ugarchfilter error, while I do not have any call to this
routine in my code. Apparently this error comes from the ugarchfit
function
with external regressors, for some reason...

Cheers,

Thibaut

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There was no error in the code...did you check the convergence of your
estimated object?
If you want more help, consider providing reproducible code as per the
guidelines.

Alexios
I have the very same problem, even with 'external.regressors=NULL' option.
Has it been solved already? Thank you.

alexios wrote
Send me your exact code and dataset used (if possible) off-mailing list
and I'll take a look.

Alexios

On 26/11/2013 12:14, tvernay wrote:
Thanks for this suggestion Alexios. I am now running the latest rugarch
version from r-forge (1.2-9) but the error remains. Basically, this error
is
described as a ugarchfilter error, while I do not have any call to this
routine in my code. Apparently this error comes from the ugarchfit
function
with external regressors, for some reason...

Cheers,

Thibaut

--
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There is indeed a warning:
ugarchfit-->warning: solver failed to converge
with optim giving code=1. But the estimated parameter values are numeric;
why then the error is thrown when I am trying to use ugarchforecast() with
this uGARCHfit object as a parameter?

Thank you for your response.

alexios wrote
There was no error in the code...did you check the convergence of your
estimated object?
If you want more help, consider providing reproducible code as per the
guidelines.

Alexios

On 19/12/2013 15:50, Grigory wrote:
I have the very same problem, even with 'external.regressors=NULL'
option.
Has it been solved already? Thank you.

alexios wrote
Send me your exact code and dataset used (if possible) off-mailing list
and I'll take a look.

Alexios

On 26/11/2013 12:14, tvernay wrote:
Thanks for this suggestion Alexios. I am now running the latest rugarch
version from r-forge (1.2-9) but the error remains. Basically, this
error
is
described as a ugarchfilter error, while I do not have any call to this
routine in my code. Apparently this error comes from the ugarchfit
function
with external regressors, for some reason...

Cheers,

Thibaut

--
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It doesn't matter whether the parameters appear to be numeric or not. If the solver failed to converge then the returned object cannot be used, and will not contain the full information required to be useful in other routines. 
Try a different solver or change any of a number of options available which may lead to convergence...a topic already exhaustively discussed in this forum in the past.

Alexios

There is indeed a warning:
ugarchfit-->warning: solver failed to converge
with optim giving code=1. But the estimated parameter values are numeric;
why then the error is thrown when I am trying to use ugarchforecast() with
this uGARCHfit object as a parameter?

Thank you for your response.

alexios wrote
There was no error in the code...did you check the convergence of your
estimated object?
If you want more help, consider providing reproducible code as per the
guidelines.

Alexios

On 19/12/2013 15:50, Grigory wrote:
I have the very same problem, even with 'external.regressors=NULL'
option.
Has it been solved already? Thank you.

alexios wrote
Send me your exact code and dataset used (if possible) off-mailing list
and I'll take a look.

Alexios

On 26/11/2013 12:14, tvernay wrote:
Thanks for this suggestion Alexios. I am now running the latest rugarch
version from r-forge (1.2-9) but the error remains. Basically, this
error
is
described as a ugarchfilter error, while I do not have any call to this
routine in my code. Apparently this error comes from the ugarchfit
function
with external regressors, for some reason...

Cheers,

Thibaut

--
View this message in context:
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Sent from the Rmetrics mailing list archive at Nabble.com.

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