Hi,

i'm trying to fit some GARCH models with external regressors using the
package "rugarch", but it keeps on failing...

This is how I create my zoo-object:

> ts.rtr <- ts(data=as.numeric(df.merged.imputed[1,32:5525]), start=1,
> end=5494, frequency=1)
> ts.rtr.zoo <- as.zoo(ts.rtr)


This is the specification of my model:

>  spec <- ugarchspec(variance.model = list(model="sGARCH", garchOrder =
> c(1,1), external.regressors=as.matrix(df.merged.imputed[1,c(4, 9, 11)])))


This is my attempt to fit the model:

> fit <- ugarchfit(spec = spec, data = ts.rtr.zoo, solver = "hybrid")


It always stops with the error message:

> Error in .sgarchfit(spec = spec, data = data, out.sample = out.sample,  :

  Subscript out of bounds


Concerning external regressors, the rugarch documentation says:
"external.regressors A matrix object containing the external regressors to
include in the mean equation with as many rows as will be included in the
data (which is passed in the ﬁt function)."

If i try the specification without external regressors, everything works
nicely.

(1) As i understood it, the documentation says "you may have several
external regressors (in the columns of the matrix) as long as the number of
rows of the matrix fits the number of time series you try to model" (which
is 1 in my case). Is that correct?
(2) Sorry for the very general question, but: What do I have to do in order
to get the model running?

Sorry if the answer is too obvious and i just missed the point somewhere...
Thanks for your help!

Best regards,
Max Alletsee

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