[R-SIG-Finance] GARCH convergence error in for-loop

Hannah Linder hlinder33 at gmail.com
Wed Oct 21 21:19:15 CEST 2015


I am using the rugarch package to fit to simulated data. I am fitting the
same garch model to 1000 simulated data sets (all very similar with
slightly different error). Within each data set I am using 10-fold CV, so I
am fitting the model to 10 training sets. When I run the code (shown below)
I occasionally receive the error:

Solver Message: Error in is.nloptr(ret) : at least one element in x0 < lb

When I re-run the exact same code starting from the iteration that caused
and error, the error goes away. Does anyone know if this may be an error
with R or if I am missing a problem in the model?

Thank-you very much for your time!




for (j in 1:1000){
  for (i in 1:10){
    fit.spec1[[j,i]]=ugarchspec(variance.model = list(model = "sGARCH",
                                       garchOrder = c(1,
                                mean.model= list(armaOrder = c(1,1),
                                                 include.mean = T,

                                distribution.model = "sstd")
    fit1[[j,i]] <- ugarchfit(data=train.all[[j]][[i]][,c(1)],spec =

I am actually using the model on biological data, rather than finance. The
regressors in the model are  Julian day count (2), tidal range (4), and a
sin and cos (5,6) transform for time-of-day (24-hr period).

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