[R-SIG-Finance] Error message of rmgarch package

[Alexios Ghalanos]

Hi,

Try solver='gosolnp' (NOT 'slover'...at best rlover), and report back if you continue to have problems. Also, the cgarchspec you provide has errors (fixed.pars should be outside the distribution.model list and I am assuming that you WANT to fix the shape parameter since cgarchfit CAN estimate it)...and make sure you are using the latest version from google code.

Regards,

Alexios

On 18 May 2013, at 09:41, jun wang <junluke at gmail.com> wrote:

> Hi,Alexios,
> 
> I am doing a project using Rmgarch package and i kept getting the following
> error messages when using 'cgarchfit'. I was wondering if you could give
> any advice. Many thanks!!!
> 
> 
> Non-Converged:
> [1] 2
> 
> dccfit-->error: convergence problem in univariate fit...
> ...returning uGARCHmultifit object instead...check and resubmit...Error in
> UseMethod("rcor") :
>  no applicable method for 'rcor' applied to an object of class
> "uGARCHmultifit"
> In addition: Warning message:
> In .sgarchfit(spec = spec, data = data, out.sample = out.sample,  :
> ugarchfit-->warning: solver failer to converge.
> 
> 
> Here is my code:
> 
> uspec = ugarchspec(mean.model = list(armaOrder = c(1,0),include.mean=TRUE),
>                   variance.model = list(garchOrder = c(1,1), model =
> "sGARCH"),
>                   distribution.model = "norm")
> 
> spec1 = cgarchspec(uspec = multispec( replicate(2, uspec) ), asymmetric =
> TRUE, distribution.model = list(copula = "mvt", method = "Kendall",
> time.varying = TRUE, transformation = "empirical",fixed.pars = list(mshape
> = v)))
> fit1 = cgarchfit(spec1, data =return,
> solver.control=list(trace=0),slover=c("gosolnp","lbfgs"))
> 
>    [[alternative HTML version deleted]]
> 
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