Hi R users,

I've been trying to perform a backtesting procedure to check the goodness
of the estimates of a Garch(1,1) model, over a series of daily log returns.

The Function I've been using is ugarchroll( ) from rugarch package.

The code is:

spec = ugarchspec(variance.model = list(model = "sGARCH", garchOrder =
c(1,1)),mean.model = list(armaOrder = c(0,0), include.mean =
F),distribution.model = "norm")
bktest = ugarchroll(spec, data = Ut, n.ahead = 1,forecast.length = 10,
refit.every = 1, refit.window = "moving",solver = "solnp", calculate.VaR =
TRUE, VaR.alpha = c(0.005, 0.01, 0.05))


What I've been trying to run is a moving window backtesting, with 1 day
ahead forecast, with 10 windows and re-fitting the model every day.
Up to here, everything is Ok and the results I obtained,  make sense to me.
But,  what If I would like to check, the goodness of a 1 year (250 days)
ahead forecast. (all the settings remain equal), instead of a 1 day ahead
forecast.

When I run this, I obtained the following Error:

Done!...all converged.
Error en `row.names<-.data.frame`(`*tmp*`, value = value) :
  invalid 'row.names' length
Además: Mensajes de aviso perdidos
1: In doTryCatch(return(expr), name, parentenv, handler) :
  passing an object of type 'NULL' to .C (arg 8) is deprecated
2: In doTryCatch(return(expr), name, parentenv, handler) :
  passing an object of type 'NULL' to .C (arg 9) is deprecated
3: In doTryCatch(return(expr), name, parentenv, handler) :
  passing an object of type 'NULL' to .C (arg 8) is deprecated
4: In doTryCatch(return(expr), name, parentenv, handler) :
  passing an object of type 'NULL' to .C (arg 9) is deprecated


What does It really mean. It isn't possible to check the goodness of a 1
year (250 days) ahead forecast ??

Any opinion would be greatful.

Thanks in advanced

Jaimie

	[[alternative HTML version deleted]]

