[R-SIG-Finance] [rugarch] ugarchroll returns objects structures differently

[Ivan Popivanov]

Hello,

The problem I am facing seems to come down to two different scenarios. The
first scenario is a short, 15 steps. The second is long - about 15,000.

In the first cases all fits are successful, and the result contains (in
roll at forecast$density) a data frame.

In the second case, there were some failed fits. Now, roll at forecast is a
list with 15,000 entries (the number of forecasts) and each of them
contains a few slots. The slot which is set for all is "converge". Since
there are failed fits (some "converge" == FALSE), as.data.frame(roll,
"density") fails. Thus, I wrote my own routine to extract the data (by
walking the list), but my routine fails to deal with the different format
coming from the the first scenario.

My feeling is that there should be a uniform way to get the forecasts (if
it failed date+NA in the data.frame) OR a uniform format of the results.

Let me know if you need a repro.

Thanks in advance,
Ivan

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