[R-SIG-Finance] Error In roll forecasting - rugarch

[Alexios Ghalanos]

The error is saying that there is a NA or NaN value in the conditional sigma (try extracting the sigma values to check). Why this is the case I cannot say with the information provided.

Alexios

On 17 Nov 2013, at 12:05 PM, "leopoldo.catania" <leopoldocatania at gmail.com> wrote:

> Hi, 
> 
> I recive a strange error from ugarchroll function. Exactly ugarchroll
> doesn't report any error, but when I try to extract the VaR quantiles I note
> that the series contains at each row this error:
> 
> Error in try(.C("c_qstd", p = as.double(p), mu = as.double(mu), sigma =
> as.double(sigma),  : \n  NA/NaN/Inf in foreign function call (arg 3)\n
> 
> I use this datas many times, and I dont think it is a dataset problem.
> 
> Regards,
> Leopoldo Catania.
> 
> 
> 
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