[R-SIG-Finance] Rugarch - ugarchroll (eGarch 1, 1) - conditional sigma results "inf" on skewed student t
Bernhard Lange
bermmm.lange at web.de
Tue Apr 17 23:16:54 CEST 2018
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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