[R-sig-Finance] garchFit and NAs
anass.mouhsine at sgcib.com
anass.mouhsine at sgcib.com
Wed May 31 14:48:03 CEST 2006
Hi everybody,
When trying to fit an ARMA(0,2)-APARCH(1,1) model to a timeseries, it
results in the following warning message:
NaNs produced in: sqrt(diag(fit$cvar))
the print function gives the following result
_______________________________________________________________________
Title:
GARCH Modelling
Call:
garchFit(formula.mean = ~arma(0, 2), formula.var = ~aparch(1,
1), series = seriemul, cond.dist = "dsged")
Mean and Variance Equation:
~arma(0, 2) + ~aparch(1, 1)
Conditional Distribution:
dsged
Coefficient(s):
mu ma1 ma2 omega alpha1 gamma1
-0.478628 0.356290 0.054928 1.472516 0.944778 0.418131
beta1 delta skew shape
0.306527 1.912457 0.541992 1.304578
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu -0.478628 0.066091 -7.242 4.42e-13 ***
ma1 0.356290 0.096042 3.710 0.000207 ***
ma2 0.054928 0.055839 0.984 0.325272
omega 1.472516 0.223275 6.595 4.25e-11 ***
alpha1 0.944778 0.213975 4.415 1.01e-05 ***
gamma1 0.418131 0.094418 4.428 9.49e-06 ***
beta1 0.306527 NA NA NA
delta 1.912457 NA NA NA
skew 0.541992 0.004978 108.879 < 2e-16 ***
shape 1.304578 NA NA NA
---
Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
Log Likelihood:
764.6944 normalized: 2.044638
_______________________________________________________________________
My question is:
--> How are these NaNs produced?
--> How can we read and interpret the NAs in the result?
Thank you in advance for your help,
Anass
*************************************************************************
This message and any attachments (the "message") are confide...{{dropped}}
More information about the R-SIG-Finance
mailing list