[R-SIG-Finance] rugarch problem

[Alexios Ghalanos]

The session info indicates that you have NOT installed the latest version. If you don't know how to install a package manually there are plenty of helpful resources in the general R-help list and manuals.

-Alexios

On Mar 21, 2013, at 0:16, Fernando Aiube <aiube at puc-rio.br> wrote:

> Please,
> 
> Again running the code, the problem is the same using the latest version.
> 
> 
> library(rugarch)
> spec = ugarchspec()
> data(sp500ret)
> fit = ugarchfit(spec = spec, data = sp500ret)
> show(fit)
> 
> The answer is
> 
>> library(rugarch)Loading required package: RcppLoading required package: RcppArmadilloLoading required package: parallelLoading required package: numDerivLoading required package: chronLoading required package: RsolnpLoading required package: truncnormPackage Rsolnp (1.14) loaded.  To cite, see citation("Rsolnp")
>> spec = ugarchspec()> data(sp500ret)> fit = ugarchfit(spec = spec, data = sp500ret)Warning message:In .sgarchfit(spec = spec, data = data, out.sample = out.sample,  :
> ugarchfit-->warning: solver failer to converge.> show(fit)
> *---------------------------------*
> *          GARCH Model Fit        *
> *---------------------------------*
> 
> Conditional Variance Dynamics    
> -----------------------------------
> GARCH Model    : sGARCH(1,1)
> Mean Model    : ARFIMA(1,0,1)
> Distribution    : norm
> 
> Convergence Problem:
> Solver Message:
>> sessionInfo()R version 2.15.3 (2013-03-01)
> Platform: i386-w64-mingw32/i386 (32-bit)
> 
> locale:
> [1] LC_COLLATE=English_United States.1252
> [2] LC_CTYPE=English_United States.1252
> [3] LC_MONETARY=English_United States.1252
> [4] LC_NUMERIC=C
> [5] LC_TIME=English_United States.1252
> 
> attached base packages:
> [1] parallel  stats     graphics  grDevices utils     datasets
> [7] methods   base
> 
> other attached packages:
> [1] rugarch_1.0-16          Rsolnp_1.14
> [3] truncnorm_1.0-6         chron_2.3-43
> [5] numDeriv_2012.9-1       RcppArmadillo_0.3.800.1
> [7] Rcpp_0.10.2
> 
> loaded via a namespace (and not attached):
> [1] tools_2.15.1
> 
> ==========================================================================
> 
> And using another computer the problem is the same.
> Can anyone help me?
> 
> Thanks for your patience. Best
> 
> Fernando Aiube
> 
> http://www.blogdolivro-aiube.blogspot.com/<http://www.ind.puc-rio.br/pagina_professores.aspx?id=faiube>
> 
> 
> ---------------------------------------------------------------
> Pontifícia Universidade Católica do Rio de Janeiro
> Departamento de Engenharia Industrial
> Rua Marques de São Vicente, 225
> 22453-900 - Gávea Rio de Janeiro - RJ
> Telefones: (5521) 3527-1284, 3527-1285
> Fax: (5521) 3527-1288
> 
> http://www.ind.puc-rio.br/pagina_professores.aspx?id=faiube
> 
> <http://www.ind.puc-rio.br/pagina_professores.aspx?id=faiube>
> 
> email: aiube at puc-rio.br
> 
>    [[alternative HTML version deleted]]
> 
> _______________________________________________
> 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.