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rugarch problem
2 messages · fernando, Alexios Ghalanos
Sorry, I just can't replicate this...I've checked your sessionInfo() results and it now appears correct. Please run and report: 1. head(as.xts(sp500ret)) 2. fit = ugarchfit(spec, data = as.numeric(sp500ret[,1]), solver.control=list(trace=1)) -Alexios
On 21/03/2013 01:47, Fernando Aiube wrote:
Alexios, Sorry for bothering you. I downloaded the version from the link you sent. Then installed manually and found the results below. Thanks once more. Fernando
install.packages("~/Downloads/rugarch_1.01-6.zip", repos = NULL)Installing package(s) into ?C:/Arquivos de programas/R/R-2.15.3/library?
(as ?lib? is unspecified)package ?rugarch? successfully unpacked and
MD5 sums checked> library(rugarch)Loading required package:
RcppLoading required package: RcppArmadilloLoading required package:
parallelLoading required package: zoo
Attaching package: ?zoo?
The following object(s) are masked from ?package:base?:
as.Date, as.Date.numeric
Loading required package: xtsLoading required package: numDerivLoading
required package: RsolnpLoading required package: truncnormPackage
Rsolnp (1.14) loaded. To cite, see citation("Rsolnp")
spec = ugarchspec()> data(sp500ret)> fit = ugarchfit(spec = spec, data = sp500ret)Warning message:In .sgarchfit(spec = spec, data = data, out.sample = out.sample, :
ugarchfit-->warning: solver failer to converge.> show(fit) *---------------------------------* * GARCH Model Fit * *---------------------------------* Conditional Variance Dynamics ----------------------------------- GARCH Model : sGARCH(1,1) Mean Model : ARFIMA(1,0,1) Distribution : norm Convergence Problem: Solver Message:
sessionInfo()R version 2.15.3 (2013-03-01)
Platform: i386-w64-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 [2] LC_CTYPE=English_United States.1252 [3] LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C [5] LC_TIME=English_United States.1252 attached base packages: [1] parallel stats graphics grDevices utils datasets [7] methods base other attached packages: [1] rugarch_1.01-6 Rsolnp_1.14 [3] truncnorm_1.0-6 numDeriv_2012.9-1 [5] xts_0.9-3 zoo_1.7-9 [7] RcppArmadillo_0.3.800.1 Rcpp_0.10.2 loaded via a namespace (and not attached): [1] grid_2.15.1 lattice_0.20-14 tools_2.15.1
install.packages("~/Downloads/rugarch_1.01-6.zip", repos = NULL)Installing package(s) into ?C:/Arquivos de programas/R/R-2.15.3/library?
(as ?lib? is unspecified)package ?rugarch? successfully unpacked and
MD5 sums checked> library(rugarch)Loading required package:
RcppLoading required package: RcppArmadilloLoading required package:
parallelLoading required package: zoo
Attaching package: ?zoo?
The following object(s) are masked from ?package:base?:
as.Date, as.Date.numeric
Loading required package: xtsLoading required package: numDerivLoading
required package: RsolnpLoading required package: truncnormPackage
Rsolnp (1.14) loaded. To cite, see citation("Rsolnp")
spec = ugarchspec()> data(sp500ret)> fit = ugarchfit(spec = spec, data = sp500ret)Warning message:In .sgarchfit(spec = spec, data = data, out.sample = out.sample, :
ugarchfit-->warning: solver failer to converge.> show(fit) *---------------------------------* * GARCH Model Fit * *---------------------------------* Conditional Variance Dynamics ----------------------------------- GARCH Model : sGARCH(1,1) Mean Model : ARFIMA(1,0,1) Distribution : norm Convergence Problem: Solver Message:
sessionInfo()R version 2.15.3 (2013-03-01)
Platform: i386-w64-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 [2] LC_CTYPE=English_United States.1252 [3] LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C [5] LC_TIME=English_United States.1252 attached base packages: [1] parallel stats graphics grDevices utils datasets [7] methods base other attached packages: [1] rugarch_1.01-6 Rsolnp_1.14 [3] truncnorm_1.0-6 numDeriv_2012.9-1 [5] xts_0.9-3 zoo_1.7-9 [7] RcppArmadillo_0.3.800.1 Rcpp_0.10.2 loaded via a namespace (and not attached): [1] grid_2.15.1 lattice_0.20-14 tools_2.15.1
install.packages("~/Downloads/rugarch_1.01-6.zip", repos = NULL)Installing package(s) into ?C:/Arquivos de programas/R/R-2.15.3/library?
(as ?lib? is unspecified)package ?rugarch? successfully unpacked and
MD5 sums checked> library(rugarch)Loading required package:
RcppLoading required package: RcppArmadilloLoading required package:
parallelLoading required package: zoo
Attaching package: ?zoo?
The following object(s) are masked from ?package:base?:
as.Date, as.Date.numeric
Loading required package: xtsLoading required package: numDerivLoading
required package: RsolnpLoading required package: truncnormPackage
Rsolnp (1.14) loaded. To cite, see citation("Rsolnp")
spec = ugarchspec()> data(sp500ret)> fit = ugarchfit(spec = spec, data = sp500ret)Warning message:In .sgarchfit(spec = spec, data = data, out.sample = out.sample, :
ugarchfit-->warning: solver failer to converge.> show(fit) *---------------------------------* * GARCH Model Fit * *---------------------------------* Conditional Variance Dynamics ----------------------------------- GARCH Model : sGARCH(1,1) Mean Model : ARFIMA(1,0,1) Distribution : norm Convergence Problem: Solver Message:
sessionInfo()R version 2.15.3 (2013-03-01)
Platform: i386-w64-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 [2] LC_CTYPE=English_United States.1252 [3] LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C [5] LC_TIME=English_United States.1252 attached base packages: [1] parallel stats graphics grDevices utils datasets [7] methods base other attached packages: [1] rugarch_1.01-6 Rsolnp_1.14 [3] truncnorm_1.0-6 numDeriv_2012.9-1 [5] xts_0.9-3 zoo_1.7-9 [7] RcppArmadillo_0.3.800.1 Rcpp_0.10.2 loaded via a namespace (and not attached): [1] grid_2.15.1 lattice_0.20-14 tools_2.15.1
install.packages("~/Downloads/rugarch_1.01-6.zip", repos = NULL)Installing package(s) into ?C:/Arquivos de programas/R/R-2.15.3/library?
(as ?lib? is unspecified)package ?rugarch? successfully unpacked and
MD5 sums checked> library(rugarch)Loading required package:
RcppLoading required package: RcppArmadilloLoading required package:
parallelLoading required package: zoo
Attaching package: ?zoo?
The following object(s) are masked from ?package:base?:
as.Date, as.Date.numeric
Loading required package: xtsLoading required package: numDerivLoading
required package: RsolnpLoading required package: truncnormPackage
Rsolnp (1.14) loaded. To cite, see citation("Rsolnp")
spec = ugarchspec()> data(sp500ret)> fit = ugarchfit(spec = spec, data = sp500ret)Warning message:In .sgarchfit(spec = spec, data = data, out.sample = out.sample, :
ugarchfit-->warning: solver failer to converge.> show(fit) *---------------------------------* * GARCH Model Fit * *---------------------------------* Conditional Variance Dynamics ----------------------------------- GARCH Model : sGARCH(1,1) Mean Model : ARFIMA(1,0,1) Distribution : norm Convergence Problem: Solver Message:
sessionInfo()R version 2.15.3 (2013-03-01)
Platform: i386-w64-mingw32/i386 (32-bit) locale: [1] LC_COLLATE=English_United States.1252 [2] LC_CTYPE=English_United States.1252 [3] LC_MONETARY=English_United States.1252 [4] LC_NUMERIC=C [5] LC_TIME=English_United States.1252 attached base packages: [1] parallel stats graphics grDevices utils datasets [7] methods base other attached packages: [1] rugarch_1.01-6 Rsolnp_1.14 [3] truncnorm_1.0-6 numDeriv_2012.9-1 [5] xts_0.9-3 zoo_1.7-9 [7] RcppArmadillo_0.3.800.1 Rcpp_0.10.2 loaded via a namespace (and not attached): [1] grid_2.15.1 lattice_0.20-14 tools_2.15.1 [[alternative HTML version deleted]]
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