<html><head></head><body data-blackberry-caret-color="#00a8df" style="background-color: rgb(255, 255, 255); line-height: initial;"><div id="BB10_response_div" style="width: 100%; font-size: initial; font-family: Calibri, 'Slate Pro', sans-serif; color: rgb(31, 73, 125); text-align: initial; background-color: rgb(255, 255, 255);">P</div> <div id="response_div_spacer" style="width: 100%; font-size: initial; font-family: Calibri, 'Slate Pro', sans-serif; color: rgb(31, 73, 125); text-align: initial; background-color: rgb(255, 255, 255);"><br style="display:initial"></div> <div id="_signaturePlaceholder" style="font-size: initial; font-family: Calibri, 'Slate Pro', sans-serif; color: rgb(31, 73, 125); text-align: initial; background-color: rgb(255, 255, 255);">Sent from my BlackBerry 10 smartphone on the Rogers network.</div> <table width="100%" style="background-color:white;border-spacing:0px;"> <tbody><tr><td id="_persistentHeaderContainer" colspan="2" style="font-size: initial; text-align: initial; background-color: rgb(255, 255, 255);"> <div id="_persistentHeader" style="border-style: solid none none; border-top-color: rgb(181, 196, 223); border-top-width: 1pt; padding: 3pt 0in 0in; font-family: Tahoma, 'BB Alpha Sans', 'Slate Pro'; font-size: 10pt;"> <div><b>From: </b>ce</div><div><b>Sent: </b>Tuesday, July 2, 2013 10:45 PM</div><div><b>T..o: </b>r-sig-finance@r-project.org</div><div><b>Subject: </b>[R-SIG-Finance] why my rugarch ugarchfit function is slow ?</div></div></td></tr></tbody></table><div id="_persistentHeaderEnd" style="border-style: solid none none; border-top-color: rgb(186, 188, 209); border-top-width: 1pt; font-size: initial; text-align: initial; background-color: rgb(255, 255, 255);"></div><br><div id="_originalContent" style=""><br>Hi,<br><br>I use R 3.0.1, opensuse 12.3 on a sony vaio i3 cpu. When I use sp500ret data (5523 values) coming from rugarch package, ugarchfit performance is acceptable, but my data has only 102 values, why it takes much longer? <br><br>> R<br><br>R version 3.0.1 (2013-05-16) -- "Good Sport"<br>Copyright (C) 2013 The R Foundation for Statistical Computing<br>Platform: x86_64-unknown-linux-gnu (64-bit)<br><br>> library("rugarch")<br>Loading required package: Rcpp <br>Loading required package: RcppArmadillo <br>Package Rsolnp (1.14) loaded. To cite, see citation("Rsolnp")<br><br>KernSmooth 2.23 loaded<br>Copyright M. P. Wand 1997-2009<br><br>> data(sp500ret)<br>> dim(sp500ret)<br>[1] 5523 1<br><br>> spec = ugarchspec(variance.model = list(model = 'fGARCH',submodel = 'NAGARCH', garchOrder = c(2, 1)), distribution = 'sstd')<br>> system.time(ugarchfit(spec, sp500ret, solver = 'hybrid'))<br> user system elapsed <br>141.562 0.136 142.448 <br><br>> mydata = c(0.082642875,-0.854761542,-0.077033376,0.406766344,-0.158930181,0.221923295,0.142042082,0.197391055,-0.109232737,-0.139228622,-0.121972401,-0.153521155,-0.046589943,-0.145470513,0.219578485,0.043333125,-0.034798222,-0.162685582,-0.053049221,0.207199901,-0.224930862,0.022989518,-0.028370697,0.010733556,0.065427805,-0.065427805,-0.355150941,-0.065554265,0.239806124,-0.054778206,0.203124684,-0.035550984,0.090971778,-0.033601747,0.066111025,0.029852963,0.030573580,-0.060426543,-0.160342650,0.170392986,0.000000000,-0.133531393,0.011363759,0.345311185,-0.057629113,0.083946421,0.165954579,0.038839833,-0.078104552,-0.088468648,0.117783036,0.074901308,0.002059733,0.066658187,0.038702329,0.211970251,0.016345089,-0.076548451,-0.367989997,-0.067762102,-0.016119382,0.148420005,-0.154689618,-0.213753811,-0.117199094,0.019081238,-0.097374164,0.255933374,0.353296810,0.132887519,-0.044246849,0.098646225,0.067682591,-0.066828985,0.241405811,0.032962773,0.067695013,0.050232125,0.09!<br> 2949523,-0.284186788,0.024811748,0.020883211,-0.112795494,0.317639288,0.072787942,0.113058086,0.120935481,0.017040238,-0.011857846,-0.027410019,-0.211765940,-0.054488185,-0.268140917,0.034273403,-0.098347132,0.040078224,-0.010772097,0.000000000,0.000000000,0.000000000,0.000000000,0.537189816)<br><br>> system.time(ugarchfit(spec, mydata, solver = 'hybrid'))<br> user system elapsed <br>367.052 0.298 369.194 <br>_______________________________________________<br>R-SIG-Finance@r-project.org mailing list<br>https://stat.ethz.ch/mailman/listinfo/r-sig-finance<br>-- Subscriber-posting only. If you want to post, subscribe first.<br>-- Also note that this is not the r-help list where general R questions should go.<br></div></body></html>