[R-SIG-Finance] seasonality in rugarch

[alexios ghalanos]

rugarch only supports ARFIMA(p,d,q) models.

1. First try fitting the returns using the "forecast" package which 
supports SARIMA.
2. If you are satisfied with the residuals, pass them to rugarch (with 
armaOrder=c(0,0), include.mean=F and nothing else).

Alexios


On 30/09/2014 20:11, aschmid1 wrote:
> Hi,
> I'm working with a sample that has a strong weekly seasonality and
> wonder if rugarch can handle a multiplicative ARIMA(p,d,q)P,D,Q)s. I
> tried additive seasonal model for which I simply put 51 dummy variables
> as external regressors into the mean but, alas, the model does not
> converge (rugarch-->warning: failed to invert hessian) with or without
> dummies.
> Here is my script:
>
> spec1111 = ugarchspec(variance.model = list(model = "sGARCH", garchOrder
> = c(1,1)), mean.model = list(armaOrder = c(1,1), include.mean = T,
> external.regressors = X), distribution.model = "sged")
>
> fit1111<-ugarchfit(data=inp[,2], spec=spec1111, solver = "hybrid",
> solver.control = list(trace = TRUE, tol=1e-4, delta=1e-6))
>
>
> Thanks! Alec
>
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