What package are you using?
If you're using tseries, NA's are not allowed in the time series, so you
have to trim out your first missing with a command like:
x1 <- na.remove(x)
made available by tseries itself. But I'm note sure is the first NA your
problem... You should provide reproducible example, if you can.

Antonio, Fabio Di Narzo.


2006/4/24, stat stat <stat700004@yahoo.co.in>:
>
> Dear r users,
>
>   Few days ago I posted the same topic but unable to receive any
> suggestion. So I am asking this same question.
>
>   I was trying to fit a garch(1,1) model to my dataset. But while
> executing I got a warning message "NaNs produced in: sqrt(pred$e)". And got
> the estimated sd's along with five "NA", but as per my best knowledge I
> should get only one "NA" i.e. corresponding to the first observation only.
> If anyone tell me why I got this message it will be a great advantage for
> me.
>
>   With regards,
>
>
>
> thanks in advance
>
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>
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