[R-SIG-Finance] [rugarch] error in ugarchfit due to external regressors

[tvernay]

Deal all,

Using the ugarchfit function from the (very good) rugarch package with a
given external regressor matrix archxreg (3 columns), I got a strange error
that I do not understand. The following code:

###
archspec <- ugarchspec(
mean.model   
=list(armaOrder=c(18,19),external.regressors=archxreg,archex=FALSE),
variance.model=list(garchOrder=c(2,2),external.regressors=NULL),
distribution="std");
#
ctrl = list(RHO = 1,DELTA = 1e-8,MAJIT = 100,MINIT = 650,TOL = 1e-6);
#
myarch      <- ugarchfit(archspec,NCO,solver = "solnp",solver.control =
ctrl)
###

provides the following error:

---
ugarchfilter-->error: parameters names do not match specification
Expected Parameters are: mu ar1 ar2 ar3 ar4 ar5 ar6 ar7 ar8 ar9 ar10 ar11
ar12 ar13 ar14 ar15 ar16 ar17 ar18 ma1 ma2 ma3 ma4 ma5 ma6 ma7 ma8 ma9
mxreg1 mxreg2 mxreg3 omega alpha1 alpha2 beta1 beta2 shape
---

Note that this error does not appear if 'external.regressors=archxreg' is
replaced by 'external.regressors=NULL', or if some different external
regressors are considered. Does anyone know where this kind of error may
come from?

Many thanks in advance,

Thibaut





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