[R-sig-Finance] garchFit and NAs

[anass.mouhsine at sgcib.com]

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

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