[R-SIG-Finance] Help! NAs and errors in ugarchfit ...

[Joshua Ulrich]

Cross-posted:
http://www.nuclearphynance.com/Show%20Post.aspx?PostIDKey=160122
http://stats.stackexchange.com/q/27319/1657
http://www.wilmott.com/messageview.cfm?catid=4&threadid=90440
--
Joshua Ulrich  |  FOSS Trading: www.fosstrading.com

R/Finance 2012: Applied Finance with R
www.RinFinance.com


On Sat, Apr 28, 2012 at 8:46 PM, Luna <lunamoonmoon at gmail.com> wrote:
> Hi all,
>
> Could you please help me?
>
> I am fitting the GJRGARCH model to 60000 data points of 15min bar
> log-return data... and I got the following error message... with lots of NA
> results...
>
> What shall I do?
>
> Thanks a lot!
>
>
>> spec = ugarchspec(variance.model = list(model = "gjrGARCH"),
> distribution.model = "sged")
>> fit = ugarchfit(data = dLogRets, spec = spec)
>>
>> fit
>
> *---------------------------------*
> *          GARCH Model Fit        *
> *---------------------------------*
>
> Conditional Variance Dynamics
> -----------------------------------
> GARCH Model : gjrGARCH(1,1)
> Mean Model : ARFIMA(1,0,1)
> Distribution : sged
>
> Optimal Parameters
> ------------------------------------
>        Estimate  Std. Error  t value Pr(>|t|)
> mu     -0.000012          NA       NA       NA
> ar1     0.038942          NA       NA       NA
> ma1     0.038334          NA       NA       NA
> omega   0.000000          NA       NA       NA
> alpha1  0.050000          NA       NA       NA
> beta1   0.900000          NA       NA       NA
> gamma1  0.050000          NA       NA       NA
> skew    1.000000          NA       NA       NA
> shape   2.000000          NA       NA       NA
>
> Robust Standard Errors:
>        Estimate  Std. Error  t value Pr(>|t|)
> mu     -0.000012          NA       NA       NA
> ar1     0.038942          NA       NA       NA
> ma1     0.038334          NA       NA       NA
> omega   0.000000          NA       NA       NA
> alpha1  0.050000          NA       NA       NA
> beta1   0.900000          NA       NA       NA
> gamma1  0.050000          NA       NA       NA
> skew    1.000000          NA       NA       NA
> shape   2.000000          NA       NA       NA
>
>  failed to invert hessian
> LogLikelihood : -1.1
>
> Information Criteria
> ------------------------------------
>
> Akaike       0.00037884
> Bayes        0.00187841
> Shibata      0.00037879
> Hannan-Quinn 0.00084718
>
> Q-Statistics on Standardized Residuals
> ------------------------------------
>      statistic   p-value
> Lag10     26.17 0.0009835
> Lag15     27.71 0.0099253
> Lag20     34.01 0.0125447
>
> H0 : No serial correlation
>
> Q-Statistics on Standardized Squared Residuals
> ------------------------------------
>      statistic p-value
> Lag10     11.53  0.1736
> Lag15     15.75  0.2630
> Lag20     20.97  0.2810
>
> ARCH LM Tests
> ------------------------------------
>             Statistic DoF P-Value
> ARCH Lag[2]      2.860   2  0.2394
> ARCH Lag[5]      6.334   5  0.2751
> ARCH Lag[10]    12.032  10  0.2829
> Error in t.default(grad) : argument is not a matrix
>
> Enter a frame number, or 0 to exit
>
> 1: function (object)
> 2: function (object)
> 3: .nyblomTest(object)
> 4: t(grad)
> 5: t.default(grad)
>
> Selection:
>
>        [[alternative HTML version deleted]]
>
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