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

[tvernay]

Dear Alexios,

Many thanks for your answer.

-When I reorganized the code in my post in order to make it more readable, I
accidentally added a wrong '1', but my q parameter for the ARMA model is 9
and not 19 (hence my error message), sorry for this mistake in my post

- I am using the rugarch version 1.2-7

- I have no ugarchfilter function in my code, which is indeed strange (the
error apparently comes from ugarchfit)

There is no possibility that the ugarchfit function generates this error?

Thanks for your help, cheers,

Thibaut



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