'Re: [R-SIG-Finance] rgarch: ugarchfit error'

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List:       r-sig-finance
Subject:    Re: [R-SIG-Finance] rgarch: ugarchfit error
From:       <alexios () 4dscape ! com>
Date:       2010-07-27 4:59:18
Message-ID: 20100726215918.dc8ca3fa013bd92bb4735c9252e90ef1.19e6ad71c4.wbe () email00 ! secureserver ! net
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<html><body><span style="font-family:Arial; color:#000000; \
font-size:10pt;"><div>Please make sure you are using a version &gt; 1.71. <br>
<br>It is most likely that the model is not converging (and not returning a 
very helpful error message unfortunately...will try to fix this in next 
release).
<br>
<br>Suggestions:
<br>&nbsp;- Try using directly model = "sGARCH" in the specification rather than 
through the omnibus "fGARCH" model (more for speed than convergence).
<br>- Try turning the scaling on in the fit.control.
<br>- Adjust the solver control parameters (mostly 'delta' and 'tol' for 
"solnp")
<br>- Switch to "nlminb" solver.
<br>
<br>
<br>Regards,
<br>
<br>Alexios Ghalanos
<br><br></div>
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-------- Original Message --------<br>
Subject: [R-SIG-Finance] rgarch: ugarchfit error<br>
From: Georgios Anastasiades &lt;<a \
                href="mailto://g.anastasiades@gmail.com">g.anastasiades@gmail.com</a>&gt;<br>

Date: Mon, July 26, 2010 3:44 pm<br>
To: <a href="mailto://r-sig-finance@stat.math.ethz.ch">r-sig-finance@stat.math.ethz.ch</a><br>
 <br>
Dear all,<br>
<br>
I am trying to fit an arma-garch model to a time series and every time I get<br>
the following error:<br>
<br>
Error in if (<a href="http://is.na">is.na</a>(opt.pars["lambda"])) { : argument is of \
length zero<br> In addition: Warning message:<br>
In <a href="http://is.na">is.na</a>(opt.pars["lambda"]) :<br>
  <a href="http://is.na">is.na</a>() applied to non-(list or vector) of type \
'NULL'<br> <br>
<br>
My code is the following:<br>
<br>
specD5&lt;-ugarchspec(variance.model = list(model = "fGARCH", garchOrder = c(1,<br>
1), submodel="GARCH"), mean.model = list(armaOrder = c(5,1), include.mean =<br>
FALSE, garchInMean = FALSE, arfima = FALSE), distribution.model = "std")<br>
<br>
fitD5&lt;-ugarchfit(spec=specD5, D5, out.sample = 70080, solver = "solnp",<br>
fit.control = list(stationarity = 0, <a href="http://fixed.se">fixed.se</a> = 0, \
scale = 0))<br> <br>
<br>
Please let me know what does the above error mean and how can I fix it.<br>
<br>
Thanks,<br>
<br>
Georgios<br>
<br>
	[[alternative HTML version deleted]]<br>
<br>
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