Hi Alexios, thanks for the reply. Just another beginner question, is that
possible that no matter how many times i do the resume, i cant find a
converging window? is there a way to programmingly find parameters that is
good to put into resume function so to make the window more likely to
converge? or is there a set of parameters that can guarantee convergence?


On Wed, Jul 31, 2013 at 9:57 PM, alexios ghalanos <alexios@4dscape.com>wrote:

> Since that example was written (?ugarchroll), additional checks were
> introduced in the function convergence including one for testing whether
> the hessian at the optimal can be inverted (which is why it fails...and
> most likely related to the scaling of the variance intercept).
>
> This is why you have the "resume" method:
> #-----------------------------**-----------------
> library(rugarch)
> data(sp500ret)
> spec = ugarchspec(distribution.model = "std")
>
> mod = ugarchroll(spec, data = sp500ret, n.ahead = 1,
> n.start = 1000,  refit.every = 100, refit.window = "moving",
> solver.control=list(tol=1e-5, delta=1e-6),
> calculate.VaR = TRUE, VaR.alpha = c(0.01, 0.025, 0.05),
> keep.coef = TRUE)
> # some warnings about the hessian and prompt to resubmit the
> # returned object...this should work.
> mod = resume(mod, solver="gosolnp",solver.**control=list(tol=1e-4,delta=**
> 1e-5))
> #-----------------------------**-----------------
>
> You should also try to get the latest version from the teatime project on
> r-forge (https://r-forge.r-project.**org/R/?group_id=1721<https://r-forge.r-project.org/R/?group_id=1721>),
> though at the moment it is not building as a result of a dependency build
> problem,
> and the absence of full time support and maintenance on r-forge.
>
> As to the differences with the blog post, I think the first paragraph of
> the post is quite clear:
>
> "The rugarch package contains a rolling volatility forecast function
> called ugarchroll, but in this example I will show how easy it is to create
> a quick custom function."
>
> As mentioned numerous times on this list, the ugarchroll function is a
> convenience "wrapper" for ugarchfit and ugarchforecast, as are most
> "roll" functions to be found in R.
>
> -Alexios
>
>
>
>
>
> On 31/07/2013 14:07, Shuo Wang wrote:
>
>> Hi,
>>
>> it seems the example provided in the ugarchroll function here
>> http://cran.r-project.org/web/**packages/rugarch/rugarch.pdf<http://cran.r-project.org/web/packages/rugarch/rugarch.pdf>doesnt converge.
>>
>> Also I am a little bit new to R, I am seeing Alexio also posted an example
>> in calculating the rolling garch here
>> http://www.unstarched.net/**2012/12/26/rolling-garch-**forecasts/<http://www.unstarched.net/2012/12/26/rolling-garch-forecasts/>
>>
>> May I please know the difference of this example from using ugarchroll
>> function?
>>
>>
>>
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>>
>>
>


-- 
王硕
邮箱：shuo.x.wang@gmail.com
Whatever your journey, keep walking.

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