[R-SIG-Finance] rugarch problem

[alexios ghalanos]

Sorry, I just can't replicate this...I've checked your sessionInfo() 
results and it now appears correct. Please run and report:

1. head(as.xts(sp500ret))
2. fit = ugarchfit(spec, data = as.numeric(sp500ret[,1]), 
solver.control=list(trace=1))

-Alexios

On 21/03/2013 01:47, Fernando Aiube wrote:
> Alexios,
>
> Sorry for bothering you. I downloaded the version from the link you sent.
> Then installed manually and found the results below. Thanks once more.
> Fernando
>
>
>
>
>> install.packages("~/Downloads/rugarch_1.01-6.zip", repos = NULL)Installing package(s) into ‘C:/Arquivos de programas/R/R-2.15.3/library’
> (as ‘lib’ is unspecified)package ‘rugarch’ successfully unpacked and
> MD5 sums checked> library(rugarch)Loading required package:
> RcppLoading required package: RcppArmadilloLoading required package:
> parallelLoading required package: zoo
> Attaching package: ‘zoo’
> The following object(s) are masked from ‘package:base’:
>
>      as.Date, as.Date.numeric
> Loading required package: xtsLoading required package: numDerivLoading
> 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_1.01-6          Rsolnp_1.14
> [3] truncnorm_1.0-6         numDeriv_2012.9-1
> [5] xts_0.9-3               zoo_1.7-9
> [7] RcppArmadillo_0.3.800.1 Rcpp_0.10.2
>
> loaded via a namespace (and not attached):
> [1] grid_2.15.1     lattice_0.20-14 tools_2.15.1
>
>> install.packages("~/Downloads/rugarch_1.01-6.zip", repos = NULL)Installing package(s) into ‘C:/Arquivos de programas/R/R-2.15.3/library’
> (as ‘lib’ is unspecified)package ‘rugarch’ successfully unpacked and
> MD5 sums checked> library(rugarch)Loading required package:
> RcppLoading required package: RcppArmadilloLoading required package:
> parallelLoading required package: zoo
> Attaching package: ‘zoo’
> The following object(s) are masked from ‘package:base’:
>
>      as.Date, as.Date.numeric
> Loading required package: xtsLoading required package: numDerivLoading
> 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_1.01-6          Rsolnp_1.14
> [3] truncnorm_1.0-6         numDeriv_2012.9-1
> [5] xts_0.9-3               zoo_1.7-9
> [7] RcppArmadillo_0.3.800.1 Rcpp_0.10.2
>
> loaded via a namespace (and not attached):
> [1] grid_2.15.1     lattice_0.20-14 tools_2.15.1
>
>
>
>
>
>
>
>> install.packages("~/Downloads/rugarch_1.01-6.zip", repos = NULL)Installing package(s) into ‘C:/Arquivos de programas/R/R-2.15.3/library’
> (as ‘lib’ is unspecified)package ‘rugarch’ successfully unpacked and
> MD5 sums checked> library(rugarch)Loading required package:
> RcppLoading required package: RcppArmadilloLoading required package:
> parallelLoading required package: zoo
> Attaching package: ‘zoo’
> The following object(s) are masked from ‘package:base’:
>
>      as.Date, as.Date.numeric
> Loading required package: xtsLoading required package: numDerivLoading
> 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_1.01-6          Rsolnp_1.14
> [3] truncnorm_1.0-6         numDeriv_2012.9-1
> [5] xts_0.9-3               zoo_1.7-9
> [7] RcppArmadillo_0.3.800.1 Rcpp_0.10.2
>
> loaded via a namespace (and not attached):
> [1] grid_2.15.1     lattice_0.20-14 tools_2.15.1
>
>> install.packages("~/Downloads/rugarch_1.01-6.zip", repos = NULL)Installing package(s) into ‘C:/Arquivos de programas/R/R-2.15.3/library’
> (as ‘lib’ is unspecified)package ‘rugarch’ successfully unpacked and
> MD5 sums checked> library(rugarch)Loading required package:
> RcppLoading required package: RcppArmadilloLoading required package:
> parallelLoading required package: zoo
> Attaching package: ‘zoo’
> The following object(s) are masked from ‘package:base’:
>
>      as.Date, as.Date.numeric
> Loading required package: xtsLoading required package: numDerivLoading
> 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_1.01-6          Rsolnp_1.14
> [3] truncnorm_1.0-6         numDeriv_2012.9-1
> [5] xts_0.9-3               zoo_1.7-9
> [7] RcppArmadillo_0.3.800.1 Rcpp_0.10.2
>
> loaded via a namespace (and not attached):
> [1] grid_2.15.1     lattice_0.20-14 tools_2.15.1
>
> 	[[alternative HTML version deleted]]
>
>
>
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