[R-SIG-Finance] rugarch memory overload

[alexios ghalanos]

I'm not sure what a very large panel data set has to do with rugarch
which is for univariate estimation, nor how parallel processing comes
into it with respect to the 'ugarchfit' functionality.

Please describe the dimensions of "data", the "spec" used, as well as
the results of running : sessionInfo()

Regards,

Alexios

On 06/09/2013 18:37, Geoffrey Smith wrote:
> Hello, I am trying to estimate GARCH parameters on a very large panel data
> set.  I am using the excellent rugarch package.  I am only interested in
> the coefficients so I use the coef function as below:
> 
> library(rugarch)
> 
> coef(ugarchfit(spec=spec, data=data, solver='hybrid'))
> 
> The program blows up from lack of RAM, even using parallel processing, and
> also using the data.table package.  Are there any suggestions on how to get
> this to work?  All I care about is getting the coefficients.  Thank you.
> 
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