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

[Joshua Ulrich]

I monitor NP and CrossValidated via my RSS feed reader, and
R-SIG-Finance in my inbox.  Contrary to what you may think, I don't
look to see if you've cross-posted but it's easy to spot when I see
nearly the exact same question in several different places.  I point
out that you've cross-posted in order to help save people time if your
question has already been answered on another forum.

Actually, I have a filter that automatically deletes all your posts to
R-SIG-Finance and I'd do the same with my RSS reader if I could.  The
only way I know you've posted is if someone else responds to you.


On Sun, Apr 29, 2012 at 7:45 PM, Luna <lunamoonmoon at gmail.com> wrote:
> Josh,
>
> My god!
>
> Your behavior is annoying... are you having trouble in your real life? And
> you have lots of time to "spy" over what other people have posted in the
> past, persistently? And you are now a self-appointed Internet policeman?
>
> And your contribution to the R-sig-finance community becomes catching people
> "cross-posting"? You are wasting our time honestly!
>
> And this is not your first time "spying" on us. You have repeatedly enjoyed
> peeking into other people's past and make accusations.
>
> If you look carefully, yes, the questions are related, because they are
> based on related dataset; but the questions are not the same at all.
>
> In fact, the question on R-sig-finance is merely about the "NA"s and
> rugarch... nothing else...
>
> What happened to you Josh?
>
>
>
>
> On Sun, Apr 29, 2012 at 4:37 PM, Joshua Ulrich <josh.m.ulrich at gmail.com>
> wrote:
>>
>> 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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>> > -- Also note that this is not the r-help list where general R questions
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>
>