[R-SIG-Finance] racd installation

[alexios galanos]

Vis,

1. You've switched from a topic related to racd to one relating to rmgarch.
Please start a new thread with an appropriate title (i.e. rmgarch in title).

2. I know that this list may have shrunk over time, but I am not the
only person on it.
Please address the question to the group, not me personally.

3. I recently added a dispatch function function for gogarchsim to accept
goGARCHfilter as well as goGARCHfit classes. This will allow easier
fitting,
filtering with new data, and then simulating the n-ahead predictive
density.
When I find time I will add some examples and clean up the warnings.


Alexios

On 22/09/2016 02:11, Vis Chen wrote:
> Dear Alexios, 
>
> I have tested "rmgarch.test4.R" in the rmgarch package, and when I run
> the rmgarch.test4b commands: 
>
> > data(dji30retw)
> > Dat = dji30retw[, 1:15, drop = FALSE]
> > spec2 = gogarchspec(mean.model = list(model = "AR", lag = 2), 
> + variance.model = list(model = "gjrGARCH", garchOrder = c(1,1)), 
> + distribution.model = c("mvnorm", "manig", "magh")[2], 
> + ica = "fastica")
> > M.gg = fmoments(spec2, Data = dji30retw[,1:15], n.ahead = 1, roll = 2, 
> + solver = "solnp", cluster = cluster, gfun = "tanh", maxiter1=20000, 
> + A.init = diag(15))
> There were 15 warnings (use warnings() to see them)
> > warnings()
> Warning messages:
> 1: unidentified option(s) in fit.control:
>  eval.se <http://eval.se>
>
> I tried to solve this by adding:
> M.gg = fmoments(spec3x, Data = P, n.ahead = 1, roll = 8,  *fit.control
> = list(fixed.se <http://fixed.se> = FALSE, stationarity = TRUE, scale
> = FALSE)*,
>                 solver = "solnp", cluster = cluster, gfun = "tanh",
> maxiter1=20000, 
>                 A.init = diag(10))
>
> But I have difficulties interpreting how this fit.control affect the
> model. 
>
> Lastly, I tried to apply my own data to the same script and I received
> these warnings: 
> > M.gg = fmoments(spec3x, Data = P, n.ahead = 1, roll = 8,
>  fit.control = list(fixed.se <http://fixed.se> = FALSE, stationarity =
> TRUE, scale = FALSE),
> +                 solver = "solnp", cluster = cluster, gfun = "tanh",
> maxiter1=20000, 
> +                 A.init = diag(10))
> Warning messages:
> 1: In sqrt(ans$h) : NaNs produced
> 2: In sqrt(ans$h) : NaNs produced
> 3: In sqrt(ans$h) : NaNs produced
> 4: In sqrt(ans$h) : NaNs produced
>
> I have some returns that equal to 0 can this be a problem? Would M.gg
> be invalid as a consequence of these warnings?
>
> Regards,
> Vis
>
>
>
> On Wed, Sep 21, 2016 at 1:26 PM, Open Business Management Solutions
> JSC <openbmsjsc at gmail.com <mailto:openbmsjsc at gmail.com>> wrote:
>
>     It looks like an issue with X display. If you're installing this on a
>     server through a x-terminal, make sure you export the DISPLAY
>     environment,
>     e.g.
>
>     export DISPLAY=0.0
>
>     2016-09-21 16:48 GMT+07:00 Le Hai Trung KNH <trunglh at hvnh.edu.vn
>     <mailto:trunglh at hvnh.edu.vn>>:
>
>     > Hi,
>     > I am trying to install 'racd' package of Alexios to R 3.3.1 and
>     come up
>     > with the following error messages.
>     > -----
>     > >  require(devtools)
>     > Loading required package: devtools
>     > > install_bitbucket("alexiosg/racd")
>     >
>     > ** preparing package for lazy loading
>     > Warning in rgl.init(initValue, onlyNULL) :
>     >   RGL: unable to open X11 display
>     > Warning: 'rgl_init' failed, running with rgl.useNULL = TRUE
>     > Error : object 'as.vector' is not exported by 'namespace:Matrix'
>     > ERROR: lazy loading failed for package 'racd'
>     > * removing '/gpfs/software/R/3.3.1/gcc/lib64/R/library/racd'
>     > Error: Command failed (1)
>     >
>     > -----
>     > How could I solve for these errors? By the way, when will the
>     'racd' could
>     > be downloaded directly from CRAN?
>     >
>     > Regards,
>     > Trung
>     >
>     >         [[alternative HTML version deleted]]
>     >
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