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

[alexios galanos]

Bernhard,

Sorry, but I can't replicate the error. I attach the result of my run.

Here is my sessionInfo()

R version 3.4.3 (2017-11-30)
Platform: x86_64-apple-darwin15.6.0 (64-bit)
Running under: macOS High Sierra 10.13.4

Matrix products: default
BLAS: 
/System/Library/Frameworks/Accelerate.framework/Versions/A/Frameworks/vecLib.framework/Versions/A/libBLAS.dylib
LAPACK: 
/Library/Frameworks/R.framework/Versions/3.4/Resources/lib/libRlapack.dylib

locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8

attached base packages:
[1] parallel  stats     graphics  grDevices utils     datasets methods   
base

other attached packages:
[1] rugarch_1.4-0

loaded via a namespace (and not attached):
  [1] Rcpp_0.12.16                magrittr_1.5 
knitr_1.16                  misc3d_0.8-4
  [5] xtable_1.8-2                lattice_0.20-35 
R6_2.2.2                    FNN_1.1
  [9] Rsolnp_1.16                 GeneralizedHyperbolic_0.8-1 
SkewHyperbolic_0.3-2        tools_3.4.3
[13] xts_0.10-2                  spd_2.0-1 grid_3.4.3                  
KernSmooth_2.23-15
[17] htmltools_0.3.6             yaml_2.1.18 digest_0.6.15               
rgl_0.98.1
[21] numDeriv_2016.8-1           Matrix_1.2-12 
shiny_1.0.5                 nloptr_1.0.4
[25] DistributionUtils_0.5-1     ks_1.10.7 htmlwidgets_1.0             
codetools_0.2-15
[29] mime_0.5                    compiler_3.4.3 
multicool_0.1-10            expm_0.999-2
[33] jsonlite_1.5                truncnorm_1.0-7 
mvtnorm_1.0-6               httpuv_1.3.6.2
[37] zoo_1.8-1

Regards,

Alexios

On 4/17/18 2:16 PM, Bernhard Lange wrote:
>
> 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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