[R-SIG-Finance] VaR calculation warning with rugarch
minger00 at gmx.de
Mon Aug 17 22:38:07 CEST 2015
Okay, I thought there was a generally mistake by myself. Because I saw the
same warnings with my quantil approach. But now it´s clear, after I saw the
same warnings with your code.
I was confused about the running time compared to the "easier"
distributions, and thought the calculation was stucked. I saw the CPU-usage
running down after a few minutes. So, i suggested the tasks run into a
overflow or something like that.
For my clarity: the solver extract firstly the model parameters (with 100
percent CPU-usage) and calculate afterwards the quantile?
After some benchmarking I think the "nig" model takes 9x of the time it does
take to fit the "norm" model.
Thank you, for your quick response!
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