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

[alexios ghalanos]

Thanks,

That's another bug caught and fixed (revision 424).

Regards,
Alexios

On 26/06/2012 13:53, stoyan.stoyanov wrote:
> 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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