Hello I am trying to use predict from an arma-Garch model (arma(2, 2) +
garch(1, 1)) and I am getting the following error:

Error en arima(x = object@data, order = c(max(u, 1), 0, max(v, 1)), init =
c(ar,  :
  non-stationary AR part from CSS

Does anybody know what can be the reason of this error? The model I have
estimated is the following:

Title:
 GARCH Modelling

Call:
 garchFit(formula = fmla, data = X[, i], trace = F)

Mean and Variance Equation:
 data ~ arma(2, 2) + garch(1, 1)
<environment: 060ec530>
 [data = X[, i]]

Conditional Distribution:
 norm

Coefficient(s):
         mu          ar1          ar2          ma1          ma2        omega
      alpha1        beta1
-0.00079014   0.44934211   0.64374977  -0.46541382  -0.23879607   0.00028933
  0.52056245   0.00000001

Std. Errors:
 based on Hessian

Error Analysis:
         Estimate  Std. Error  t value Pr(>|t|)
mu     -7.901e-04   5.649e-04   -1.399  0.16187
ar1     4.493e-01   1.498e-01    3.000  0.00270 **
ar2     6.437e-01   1.453e-01    4.429 9.46e-06 ***
ma1    -4.654e-01   1.494e-01   -3.115  0.00184 **
ma2    -2.388e-01   1.318e-01   -1.812  0.07006 .
omega   2.893e-04   3.899e-05    7.420 1.17e-13 ***
alpha1  5.206e-01          NA       NA       NA
beta1   1.000e-08          NA       NA       NA
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Log Likelihood:
 297.5401    normalized:  2.438853


Thank you

Felipe Parra

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