Hi everyone,

I'm struggling with adding external regressors X to arma+garch model using
the following script:

spec1121ex = ugarchspec(variance.model = list(model = "sGARCH", garchOrder
= c(2,1)),
                  mean.model = list(armaOrder = c(1,1), include.mean =
TRUE, external.regressors = X),
                  distribution.model = "std")

fit1121ex<-ugarchfit(data=rt[,1], spec=spec1121ex)

The regressor matrix X (currently) has the following form:

head(X)     [,1] [,2] [,3] [,4] [,5]
[1,]    0    0    0    0    1
[2,]    1    0    0    0    0
[3,]    0    1    0    0    0
[4,]    0    0    1    0    0
[5,]    0    0    0    1    0
[6,]    0    0    0    0    1


When I run ugarchfit, I get an error:

Error in optim(init[mask], armaCSS, method = optim.method, hessian = TRUE,  :
  non-finite value supplied by optim

I make X from the table rtn

> head(rtn)                    SPY Mon Tue Wed Thu Fri
2009-01-05 -0.001189061   1   0   0   0   0
2009-01-06  0.006640603   0   1   0   0   0
2009-01-07 -0.030479920   0   0   1   0   0
2009-01-08  0.004134247   0   0   0   1   0
2009-01-09 -0.021711980   0   0   0   0   1
2009-01-12 -0.024224590   1   0   0   0   0

> X<-matrix(cbind(rtn[,2], rtn[,3], rtn[,4], rtn[,5], rtn[,6]), ncol=5)

Surprisingly sript runs fine if I choose ncol<5, e.g.
>X<-matrix(cbind(rtn[,3], rtn[,4], rtn[,5], rtn[,6]), ncol=4)

or

>X<-matrix(cbind(rtn[,2], rtn[,3], rtn[,4], rtn[,5]), ncol=4)

Thanks a lot,

-- 
Alec

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