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

[Grigory]

There is indeed a warning:
ugarchfit-->warning: solver failed to converge
with optim giving code=1. But the estimated parameter values are numeric;
why then the error is thrown when I am trying to use ugarchforecast() with
this uGARCHfit object as a parameter?

Thank you for your response.


alexios wrote
> There was no error in the code...did you check the convergence of your
> estimated object?
> If you want more help, consider providing reproducible code as per the
> guidelines.
> 
> Alexios
> 
> On 19/12/2013 15:50, Grigory wrote:
>> I have the very same problem, even with 'external.regressors=NULL'
>> option.
>> Has it been solved already? Thank you.
>> 
>> 
>> alexios wrote
>>> Send me your exact code and dataset used (if possible) off-mailing list
>>> and I'll take a look.
>>>
>>> Alexios
>>>
>>> On 26/11/2013 12:14, tvernay wrote:
>>>> Thanks for this suggestion Alexios. I am now running the latest rugarch
>>>> version from r-forge (1.2-9) but the error remains. Basically, this
>>>> error
>>>> is
>>>> described as a ugarchfilter error, while I do not have any call to this
>>>> routine in my code. Apparently this error comes from the ugarchfit
>>>> function
>>>> with external regressors, for some reason...
>>>>
>>>> Cheers,
>>>>
>>>> Thibaut
>>>>
>>>>
>>>>
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>> 
>> 
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