[R-SIG-Finance] fscenario in rmgarch package

[da_melendez at yahoo.com]

Great!  Thanks a lot for the quick response and I'll download the newer version.  Cheers!

Sent from my iPhone so please excuse any typos 

> On Jun 18, 2015, at 7:11 PM, alexios <alexios at 4dscape.com> wrote:
> 
> 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]]
>> 
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