[R-SIG-Finance] rugarch teste
Rafael Bressan
rfbressan at gmail.com
Tue Nov 21 20:34:20 CET 2017
I'm having a problem of convergence with rugarch, trying to fit an
eGARCH(2,1).
I've tried other models, not having out.sample option on, different time
frames, and other time series too. Everything fails to converge ON UBUNTU
17.04.
I stress ubuntu 17.04 because the same code, with the same time series,
works perfectly in the same machine with windows 10 and another one running
Ubuntu 16.04LTS 32-bit.
R version is 3.4.2 (.1 for windows)
rugarch version 1.3-8
Everything running on RStudio Version 1.1.383
I'd like it running in my laptop with 17.04, since it's my "to go"
equipment, and I really prefer to use R in linux rather than in windows.
Could someone, please, help me to discover and fix this problem?
Below is the simple R code and the 3 sessionInfo(). My csv is taken from
Yahoo! Finance and can be any index, it's not working with BVSP, GSPC,
IPSA, etc.
library(rugarch)
library(PerformanceAnalytics)
library(xts)
tb <- read.csv("./Documentos/UDESC/mefca/artigo-IPSA.csv", stringsAsFactors
= FALSE)
prices <- as.xts(read.zoo(tb, format = "%Y-%m-%d", FUN = as.Date))
losses <- -100*na.omit(Return.calculate(prices$Adj.Close, method = "log"))
ruspec <- ugarchspec(mean.model = list(armaOrder = c(1,0)),
variance.model = list(model = "eGARCH", garchOrder =
c(2,1)),
distribution.model = "sstd")
fit <- ugarchfit(ruspec, losses, solver = "hybrid")
Warning message:
In .egarchfit(spec = spec, data = data, out.sample = out.sample, :
ugarchfit-->warning: solver failer to converge.
R version 3.4.2 (2017-09-28)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Ubuntu 17.04
Matrix products: default
BLAS: /usr/lib/libblas/libblas.so.3.7.0
LAPACK: /usr/lib/lapack/liblapack.so.3.7.0
locale:
[1] LC_CTYPE=pt_BR.UTF-8 LC_NUMERIC=C
LC_TIME=pt_BR.UTF-8 LC_COLLATE=pt_BR.UTF-8
[5] LC_MONETARY=pt_BR.UTF-8 LC_MESSAGES=pt_BR.UTF-8
LC_PAPER=pt_BR.UTF-8 LC_NAME=C
[9] LC_ADDRESS=C LC_TELEPHONE=C
LC_MEASUREMENT=pt_BR.UTF-8 LC_IDENTIFICATION=C
attached base packages:
[1] parallel stats graphics grDevices utils datasets methods
base
other attached packages:
[1] PerformanceAnalytics_1.4.3541 xts_0.10-0
zoo_1.8-0
[4] rugarch_1.3-8
loaded via a namespace (and not attached):
[1] Rcpp_0.12.13 magrittr_1.5
knitr_1.17
[4] misc3d_0.8-4 xtable_1.8-2
lattice_0.20-35
[7] R6_2.2.2 FNN_1.1
Rsolnp_1.16
[10] GeneralizedHyperbolic_0.8-1 SkewHyperbolic_0.3-2
tools_3.4.2
[13] spd_2.0-1 grid_3.4.2
KernSmooth_2.23-15
[16] htmltools_0.3.6 yaml_2.1.14
digest_0.6.12
[19] rgl_0.98.1 numDeriv_2016.8-1
Matrix_1.2-11
[22] shiny_1.0.5 nloptr_1.0.4
DistributionUtils_0.5-1
[25] ks_1.10.7 htmlwidgets_0.9
codetools_0.2-15
[28] mime_0.5 compiler_3.4.2
multicool_0.1-10
[31] expm_0.999-2 jsonlite_1.5
truncnorm_1.0-7
[34] mvtnorm_1.0-6 httpuv_1.3.5
R version 3.4.1 (2017-06-30)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: Windows >= 8 x64 (build 9200)
Matrix products: default
locale:
[1] LC_COLLATE=Portuguese_Brazil.1252 LC_CTYPE=Portuguese_Brazil.1252
[3] LC_MONETARY=Portuguese_Brazil.1252 LC_NUMERIC=C
[5] LC_TIME=Portuguese_Brazil.1252
attached base packages:
[1] parallel stats graphics grDevices utils datasets
methods base
other attached packages:
[1] PerformanceAnalytics_1.4.3541 xts_0.10-0
zoo_1.8-0
[4] rugarch_1.3-8
loaded via a namespace (and not attached):
[1] Rcpp_0.12.13 magrittr_1.5
knitr_1.17
[4] misc3d_0.8-4 xtable_1.8-2
lattice_0.20-35
[7] R6_2.2.2 FNN_1.1
Rsolnp_1.16
[10] GeneralizedHyperbolic_0.8-1 SkewHyperbolic_0.3-2
tools_3.4.1
[13] spd_2.0-1 grid_3.4.1
KernSmooth_2.23-15
[16] htmltools_0.3.6 yaml_2.1.14
digest_0.6.12
[19] rgl_0.98.1 numDeriv_2016.8-1
Matrix_1.2-10
[22] shiny_1.0.5 nloptr_1.0.4
DistributionUtils_0.5-1
[25] ks_1.10.7 htmlwidgets_0.8
codetools_0.2-15
[28] mime_0.5 compiler_3.4.1
multicool_0.1-10
[31] expm_0.999-2 jsonlite_1.5
truncnorm_1.0-7
[34] mvtnorm_1.0-6 httpuv_1.3.5
R version 3.4.2 (2017-09-28)
Platform: i686-pc-linux-gnu (32-bit)
Running under: Ubuntu 16.04.3 LTS
Matrix products: default
BLAS: /usr/lib/libblas/libblas.so.3.6.0
LAPACK: /usr/lib/lapack/liblapack.so.3.6.0
locale:
[1] LC_CTYPE=pt_BR.UTF-8 LC_NUMERIC=C
LC_TIME=pt_BR.UTF-8
[4] LC_COLLATE=pt_BR.UTF-8 LC_MONETARY=pt_BR.UTF-8
LC_MESSAGES=pt_BR.UTF-8
[7] LC_PAPER=pt_BR.UTF-8 LC_NAME=C
LC_ADDRESS=C
[10] LC_TELEPHONE=C LC_MEASUREMENT=pt_BR.UTF-8
LC_IDENTIFICATION=C
attached base packages:
[1] parallel stats graphics grDevices utils datasets methods
base
other attached packages:
[1] PerformanceAnalytics_1.4.3541 xts_0.10-0
zoo_1.8-0
[4] rugarch_1.3-8
loaded via a namespace (and not attached):
[1] ggplot2_2.2.1 lattice_0.20-35
compiler_3.4.2
[4] htmlwidgets_0.9 xtable_1.8-2
Rcpp_0.12.13
[7] shiny_1.0.3 plyr_1.8.4
tools_3.4.2
[10] DistributionUtils_0.5-1 SkewHyperbolic_0.3-2
truncnorm_1.0-7
[13] R6_2.2.2 knitr_1.17
scales_0.5.0
[16] spd_2.0-1 multicool_0.1-10
rgl_0.98.1
[19] digest_0.6.12 gtable_0.2.0
mime_0.5
[22] numDeriv_2016.8-1 KernSmooth_2.23-15
Matrix_1.2-11
[25] ks_1.10.7 htmltools_0.3.6
misc3d_0.8-4
[28] munsell_0.4.3 grid_3.4.2
colorspace_1.3-2
[31] FNN_1.1 httpuv_1.3.5
rlang_0.1.2
[34] Rsolnp_1.16 nloptr_1.0.4
magrittr_1.5
[37] GeneralizedHyperbolic_0.8-1 lazyeval_0.2.0
yaml_2.1.14
[40] mvtnorm_1.0-6 codetools_0.2-15
jsonlite_1.5
[43] tibble_1.3.4 expm_0.999-2
2017-11-21 16:27 GMT-02:00 Rafael Bressan <rfbressan at gmail.com>:
> library(rugarch)
> library(PerformanceAnalytics)
> library(xts)
>
> tb <- read.csv("./Documentos/UDESC/mefca/artigo-IPSA.csv",
> stringsAsFactors = FALSE)
> prices <- as.xts(read.zoo(tb, format = "%Y-%m-%d", FUN = as.Date))
> losses <- -100*na.omit(Return.calculate(prices$Adj.Close, method = "log"))
>
> ruspec <- ugarchspec(mean.model = list(armaOrder = c(1,0)),
> variance.model = list(model = "eGARCH", garchOrder =
> c(2,1)),
> distribution.model = "sstd")
>
> fit <- ugarchfit(ruspec, losses, solver = "hybrid")
>
>
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