[R-SIG-Finance] fscenario in rmgarch package

[alexios]

Hi Daniel,

That's a bug...I've upload a patch to my development repo. You can 
install as follows:

library(devtools)
install_bitbucket("alexiosg/rmgarch")

This should now work:
library(rmgarch)
data(dji30ret)
library(xts)
dj<-xts(dji30ret, as.Date(rownames(dji30ret)))
spec<-gogarchspec(mean.model=list(model="AR"))
scen<-fscenario(dj[,1:10], sim=1000, roll=1, model="gogarch", spec = 
spec, n.comp=3, gfun="tanh", solver.control=list(trace=1))
dim(fitted(scen))
[1] 1000 10 2

Best,

Alexios

On 18/06/2015 23:10, daniel melendez via R-SIG-Finance wrote:
>   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
> 	[[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
>