[R-SIG-Finance] RUGARCH bootstrap fitting error - presigma length

[alexios ghalanos]

Hi Stoyan,

You need to provide at a minimum the code you used. When you say 
bootstrap which function are you referring to (ugarchsim or ugarchboot)?

In any case I cannot replicate the error under the following set of 
assumptions:

library(rugarch)
data(sp500ret)
spec = ugarchspec(mean.model=list(armaOrder=c(3,2)),
variance.model=list(model="fGARCH",submodel="TGARCH"))
fit=ugarchfit(spec, sp500ret)

# These all work:
sim = ugarchsim(fit, n.sim = 1, m.sim=200, startMethod="unconditional")
sim = ugarchsim(fit, n.sim = 1, m.sim=200, startMethod="sample")
bt=ugarchboot(fit, method = "Partial", n.bootfit = 200)

(the use of .fgarchsim2 means that (n.sim+n.start) < 100 && m.sim > 
100...this makes use of C++ code whereas the opposite case is based on C 
code).

Regards,
Alexios

On 25/06/2012 22:58, stoyan.stoyanov wrote:
> Hi all,
>
> While trying to bootstrap a TGARCH model of orders (1,1), using the rugarch
> package, I get the following error:
>
> .fgarchsim2(fit = fit, n.sim = n.sim, n.start = n.start, m.sim = m.sim,  :
> ugarchsim-->error: presigma must be of length 2
>
> I only get the error when my ARMA model for the mean is of order 2 or higher
> (in p, q or both). Curious whether this is a bug that anyone has documented
> before. If not, I would be happy to provide my code and data sample. It
> could also be a mis-specification in my model and/or an error in the code of
> course.
>
> Best,
> Stoyan
>
> --
> View this message in context: http://r.789695.n4.nabble.com/RUGARCH-bootstrap-fitting-error-presigma-length-tp4634470.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>