[R] Question regarding the package rugarch
corinagr at student.ethz.ch
Tue Jan 7 17:42:30 CET 2014
I have a question regarding the package rugarch. I would like to fit a garch model with exogenous variables using rugarch. My code is as follows, where data.reg is a time series object where the first column corresponds to the response variable and the remainder columns are the exogenous variables.
spec <- ugarchspec(variance.model = list(model = "sGARCH", garchOrder = c(1, 1),
submodel = NULL, external.regressors = NULL, variance.targeting = FALSE),
mean.model = list(armaOrder = c(1, 1), external.regressors = data.reg[,-1]))
#, distribution.model = "norm", start.pars = list(), fixed.pars = list()))
garch <- ugarchfit(spec=spec,data=data.reg[,1],solver.control=list(trace=0))
When running the second command, the following error appears:
Error in pars[idx["mxreg", 1]:idx["mxreg", 2], 1] = fit.mean[i] :
replacement has length zero
How can I solve this problem?
Thanks for your help
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