[R-SIG-Finance] fscenario in rmgarch package
daniel melendez
da_melendez at yahoo.com
Fri Jun 19 00:10:42 CEST 2015
Hello - I selected to keep 4 of the 10 components associated with my series for modeling purposes. However, when trying to generate scenarios using fscenario I get a warning as follows: Error in tail(preresiduals, mx) %*% t(A) : non-conformable arguments
In addition: Warning messages:
1: In matrix(fit at mfit$Y[(T - p + i):(T - 1 + i), , drop = FALSE], ncol = m, :
data length [4] is not a sub-multiple or multiple of the number of columns [10]
2: In matrix(filt at mfilter$factor.sigmas[(T - p + i):(T - 1 + i), , :
data length [4] is not a sub-multiple or multiple of the number of columns [10] Any help would be greatly appreciated. Does this message mean that I must use all 10 components for generating a scenario? Regards
DA Melendez
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