Hi,

rugarch (since ver 1.01-5, Feb 2013)  only accepts xts based data objects (or those which can be coerced to such...but your mileage will vary in that case). I suspect you have also not set your system timezone (e.g. Sys.setenv(TZ="GMT")).

You might find the post below helpful:

http://unstarched.net/2013/02/27/whats-new-in-rugarch-ver-1-01-5/

-Alexios



> On 30 Jul 2014, at 23:02, JAKE WHITE <whitejakerobert@berkeley.edu> wrote:
> 
> Hello,
> 
> I'm attempting to use the 'ugarchroll' method to get a rolling forecast,
> but the dates are from EPOCH (I think) rather than the data frame I input.
> I noticed this occur on other RUGARCH methods as well.  The following is my
> input and output.
> 
> Thank you in advance for your help...
> 
>> head(ausIV3m)        date  IV3m
> 1 2014-07-24 6.545
> 2 2014-07-23 6.465
> 3 2014-07-22 6.640
> 4 2014-07-21 6.635
> 5 2014-07-18 6.690
> 6 2014-07-17 6.765> class(ausIV3m$date)[1] "Date"> roll =
> ugarchroll(vanSpecs, ausIV3m, n.start = TD_YEAR, refit.every = 100,
> refit.window = "moving", solver = "hybrid", calculate.VaR = F)There
> were 11 warnings (use warnings() to see them)> # warnings all about
> arima() convergence> show(roll)
> *-------------------------------------*
> *              GARCH Roll             *
> *-------------------------------------*
> No.Refits        : 11
> Refit Horizon    : 100
> No.Forecasts    : 1073
> GARCH Model        : sGARCH(1,1)
> Distribution    : norm
> 
> Forecast Density:
>                          Mu Sigma Skew Shape Shape(GIG) Realized
> 1970-09-10 19:00:00 15922.51 1.205    0     0          0    15923
> 1970-09-11 19:00:00 15923.49 1.205    0     0          0    15922
> 1970-09-12 19:00:00 15920.51 1.205    0     0          0    15919
> 1970-09-13 19:00:00 15917.49 1.205    0     0          0    15918
> 1970-09-14 19:00:00 15918.51 1.205    0     0          0    15917
> 1970-09-15 19:00:00 15915.49 1.205    0     0          0    15916
> 
> ..........................
>                          Mu Sigma Skew Shape Shape(GIG) Realized
> 1973-08-12 19:00:00 14429.49 1.205    0     0          0    14428
> 1973-08-13 19:00:00 14426.51 1.205    0     0          0    14427
> 1973-08-14 19:00:00 14427.49 1.205    0     0          0    14426
> 1973-08-15 19:00:00 14424.51 1.205    0     0          0    14425
> 1973-08-16 19:00:00 14425.49 1.205    0     0          0    14424
> 1973-08-17 19:00:00 14422.51 1.205    0     0          0    14421
> 
> Elapsed: 8.168282 secs
> 
> 
> 
> 
> -- 
> *Jake White*
> *U.C. Berkeley Department of Applied Mathematics*
> *California Golden Bears Hockey*
> *714-313-0583 *
> 
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> 
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