I am sorry to ask this group but the maintainer of this package did not
leave an email address. 

 

Has anyone used or is using the 'rugarch' package with time-series data
(ts)? I try to fit a GARCH model to my data using the following:

 

> gf <- ugarchfit(data=l[["MEN"]]$series, spec=spec)

 

and I get:

 

Error in .extractdata(data) : 

rgarch-->error: class of data object not recognized

 

> class(l[["MEN"]]$series)

[1] "ts"

 

The documentation states that :

 


data

A univariate data object. Can be a numeric vector, matrix, data.frame, zoo,
xts, timeSeries, ts or irts object.

 

I am not sure what I am doing wrong.

 

Thank you.

 

Kevin


	[[alternative HTML version deleted]]

