[R-SIG-Finance] FW: Re: racd package

[alexios galanos]

Please provide a reproducible example.

Alexios

On 13/05/2016 12:59, Trung.BA wrote:
> Hi Alexios and team, 
>
> I am using racd in modelling time varying higher moments for a daily return
> of SP500 since 2000. 
>
> I tried to used msoptim solver with n.sim = 10000. I am now considering
> skewed t ("sstd"), NIG and SGED distribution.
>
> I got this warning message :" In .acdmakefitmodel(acdmodel = fname, f = fun,
> T = T, m = m, timer = timer,  :
>
>   NaNs produced"
>
> Then, when I plot the skewness and kurtosis parameter from estimated models,
> they varies in the similar manner but in a large different value. For
> example, kurtosis in sstd distribution is between 1 - 100, kurtosis of NIG
> is even between 1-300. 
>
> Is there anything wrong with my estimation that relate to surprising
> differences in kurtosis and skewness estimated value? 
>
> Thanks in advance 
>
> Trung
>
>
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