[R-SIG-Finance] Rugarch - ugarchroll (eGarch 1, 1) - conditional sigma results "inf" on skewed student t

[Bernhard Lange]

Dear all

I'm trying to do a rolling forecast for a time series of stock returns
aiming to achieve One-step-ahead VaR99 forecasts with the rugarch package.
However, I'm facing problems while using the ugarchroll function.

When running this code:

library(rugarch)
specEGARCHNoMeanSstd <- ugarchspec(variance.model = list(model="eGARCH",
garchOrder = c(1,1)),
                                   mean.model = list(armaOrder=c(0,0)),
distribution.model = "sstd")
EGarchNoMSstd <- ugarchroll(specEGARCHNoMeanSstd, data=returnsXTS, n.start =
500, refit.every = 100,
                refit.window = "moving", window.size = 500, solver="hybrid",
calculate.VaR = T, VaR.alpha = c(0.01))

I receive the following Error as value in the resulting data object:
Error in try(.C("c_qsstd", p = as.double(p), mu = as.double(mu), sigma =
as.double(sigma),  : \n  NA/NaN/Inf in foreign function call (arg 3)\n.

I figured out that the function produces "Inf"s on the conditional sigma.
However I'm not able to find a reason for that.
Please note that the same model with n.start = 1000 and window.size = 1000
produces data without errors.

I would appreciate every hint in the right direction.
I attached a data set and script for reproduction.

Best regards,
Bernhard Lange

PS: I'm new to R mailing lists. So please let me know, if I need to provide
more information for future postings.


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