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

[stoyan.stoyanov]

Hi Alexios,

I am using 1372 daily adjusted returns on IBM (csv attached).

*Code:*
spec=ugarchspec(variance.model = list(model = "fGARCH", garchOrder = c(3,3),
                        submodel = "TGARCH", external.regressors = NULL,
variance.targeting = TRUE),
                 mean.model = list (armaOrder = c(best.p,best.q),
include.mean = mean, archm = FALSE, 
                        archpow = 1, arfima = FALSE, external.regressors =
NULL, archex = FALSE),
                 distribution.model = "std", start.pars = list(), fixed.pars
= list())

fit=ugarchfit(spec, data, out.sample = 0, solver = "solnp", solver.control =
list(), 
               fit.control = list(stationarity = 1, fixed.se = 0, scale =
0))

boot.pred=ugarchboot(fit, data = NULL, method = "full", n.ahead = 5, 
                n.bootfit = 5, n.bootpred = 500, out.sample = 0, rseed = NA,
solver = "solnp", 
                solver.control = list(), fit.control = list(), 
                external.forecasts = list(mregfor = NULL, vregfor = NULL),
parallel = FALSE, 
                parallel.control = list(pkg = c("multicore", "snowfall"),
cores = 2))

*Error:*
fitting stage...done!

prediction stage...
Error in .fgarchsim2(fit = fit, n.sim = n.sim, n.start = n.start, m.sim =
m.sim,  : 
  
ugarchsim-->error: presigma must be of length 2

Again, I get the error with anything higher than an ARMA(1,1). Hope this
information is sufficient. I get the same error with a different data set
too.

*Data:*
http://r.789695.n4.nabble.com/file/n4634505/data.csv data.csv 

Thanks,
Stoyan

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