[R-SIG-Finance] rmgarch arguments

[alexios ghalanos]

The documentation on 'dccfit' states that the option 'solver.control'
provides a:
  "Control arguments list passed to optimizer".
The 'solnp' solver which is used as the default (which you can see by 
typing 'args(dccfit)' or inspecting the documentation) has a control 
parameter called 'trace' which from its documentation states:
"The value of the objective function and the parameters is printed at 
every major iteration (default 1)."
Therefore, setting the option solver.control=list(trace=0) should do the 
trick...all of which could be deduced by careful reading of the 
documentation.

-Alexios


On 16/05/2012 04:42, junluke wrote:
> Hi, all,
>
> I am doing some simulation studies using rmgarch package. I am using the
> "dccfit" to estimate the dynamic conditional correlation.
>
> After each estimation, the "dccfit" gives me the following messages:
>
> Iter: 1 fn: 185.1321     Pars:  0.008106 0.871192
> Iter: 2 fn: 185.1321     Pars:  0.008106 0.871190
> solnp-->  Completed in 2 iterations
>
> I was wondering how to turn off this message in the "dccfit" function. Here
> is my code:
>
> uspec = ugarchspec(variance.model = list(garchOrder = c(1,1), model =
> "sGARCH"),
>     distribution.model = "norm")
> spec1 = dccspec(uspec = multispec( replicate(2, uspec) ), dccOrder = c(1,1),
>     asymmetric = FALSE, distribution = "mvnorm")
> fit1 = dccfit(spec1, data = return[2:n,], fit.control = list(eval.se=FALSE))
> rc1=rcor(fit1)
>
> Many thanks!
>
> Jun
>
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