[R-SIG-Finance] RUGARCH Question

[Paul Gilbert]

On 13-03-13 10:15 PM, Ranjodh Singh wrote:
> Hi,
>
> I have a rather quick question regarding the rugarch package.
>
> I am attempting to run several ARMA(ar,ma)-GARCH(p,q) models on a single
> set of data whilst varying the values of ar,ma,p and q. For some
> combinations, the GARCH routine does not converge. This is understandable.
>
> The dilemma I am facing is that R halts when convergence is not achieved.
> I would like it output something like "convergence not achieved" and move
> on to the next combination of parameters.

The generic way to handle this is to wrap your program call in try() and 
then check the result. That may not be necessary, depending on how the 
program "halts". (If it is actually R that is halting, that is, you end 
up no longer in R, then there is a bug you should report, with a 
reproducible example.)

Also, beware that this sort of fishing for a model fit has known 
pitfalls. Don't expect the model forecasts to be anywhere near as good 
as the fit might suggest.

Paul

>
> I am hoping that someone else may have asked this question before or its
> part of the official documentation and all someone has to do is to point me
> in that direction.
>
> Thanks in advance.
>
> RJS
>
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