[R-SIG-Finance] Assistance on gogarch estimation

[Leonardo Bargigli]

Hi,
I'm having a problem in reproducing the following example reproduced below,
which is provided in the documentation with rugarch = 1.5.2 and rmgarch =
1.3.9.
Any help or suggestion would be greatly appreciated!
Thank you for your assistance.
Best regards,
Leonardo

data(dji30ret)
spec = gogarchspec(mean.model = list(demean = "constant"),
variance.model = list(model = "sGARCH", garchOrder = c(1,1), submodel =
NULL),
distribution.model = list(distribution = "manig"),ica = "fastica")
fit = gogarchfit(spec = spec, data = dji30ret[,1:4, drop = FALSE],
out.sample = 50, gfun = "tanh")

which returns the following error:

Error in .local(variance.model, mean.model, distribution.model, start.pars, :
ugarchspec-->error: cond.distribution argument must be a character
Traceback:

1. gogarchfit(spec = spec, data = dji30ret[, 1:4, drop = FALSE],
 .     out.sample = 50, gfun = "tanh")
2. gogarchfit(spec = spec, data = dji30ret[, 1:4, drop = FALSE],
 .     out.sample = 50, gfun = "tanh")
3. ugarchspec(mean.model = list(include.mean = FALSE, armaOrder = c(0,
 .     0)), variance.model = list(model = umodel$vmodel, garchOrder =
umodel$garchOrder,
 .     submodel = umodel$vsubmodel, variance.targeting =
umodel$variance.targeting),
 .     distribution.model = umodel$distribution)
4. ugarchspec(mean.model = list(include.mean = FALSE, armaOrder = c(0,
 .     0)), variance.model = list(model = umodel$vmodel, garchOrder =
umodel$garchOrder,
 .     submodel = umodel$vsubmodel, variance.targeting =
umodel$variance.targeting),
 .     distribution.model = umodel$distribution)
5. .local(variance.model, mean.model, distribution.model, start.pars,
 .     fixed.pars, ...)
6. stop("\nugarchspec-->error: cond.distribution argument must be a character")



-- 
Leonardo Bargigli, PhD
Associate Professor in Economics, Disei, Università degli Studi di Firenze
- Personal page
<https://www.unifi.it/p-doc2-2013-000000-B-3f2b3a2f362930.html>
Director of the bachelor's degree program in Economics & Business
<http://ec.unifi.it>
Csdc - Centro studi dinamiche complesse -  https://www.csdc.unifi.it
ORCID: 0000-0002-7524-9148 <https://orcid.org/0000-0002-7524-9148>

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