<html xmlns:v="urn:schemas-microsoft-com:vml" xmlns:o="urn:schemas-microsoft-com:office:office" xmlns:w="urn:schemas-microsoft-com:office:word" xmlns:m="http://schemas.microsoft.com/office/2004/12/omml" xmlns="http://www.w3.org/TR/REC-html40"><head><meta http-equiv=Content-Type content="text/html; charset=us-ascii"><meta name=Generator content="Microsoft Word 15 (filtered medium)"><style><!--
/* Font Definitions */
@font-face
{font-family:"Cambria Math";
panose-1:2 4 5 3 5 4 6 3 2 4;}
@font-face
{font-family:Calibri;
panose-1:2 15 5 2 2 2 4 3 2 4;}
/* Style Definitions */
p.MsoNormal, li.MsoNormal, div.MsoNormal
{margin:0cm;
margin-bottom:.0001pt;
font-size:11.0pt;
font-family:"Calibri",sans-serif;}
a:link, span.MsoHyperlink
{mso-style-priority:99;
color:#0563C1;
text-decoration:underline;}
a:visited, span.MsoHyperlinkFollowed
{mso-style-priority:99;
color:#954F72;
text-decoration:underline;}
p.msonormal0, li.msonormal0, div.msonormal0
{mso-style-name:msonormal;
mso-margin-top-alt:auto;
margin-right:0cm;
mso-margin-bottom-alt:auto;
margin-left:0cm;
font-size:11.0pt;
font-family:"Calibri",sans-serif;}
span.E-MailFormatvorlage18
{mso-style-type:personal;
font-family:"Calibri",sans-serif;
color:windowtext;}
span.E-MailFormatvorlage20
{mso-style-type:personal-compose;
font-family:"Calibri",sans-serif;
color:windowtext;}
.MsoChpDefault
{mso-style-type:export-only;
font-size:10.0pt;}
@page WordSection1
{size:612.0pt 792.0pt;
margin:70.85pt 70.85pt 2.0cm 70.85pt;}
div.WordSection1
{page:WordSection1;}
--></style><!--[if gte mso 9]><xml>
<o:shapedefaults v:ext="edit" spidmax="1026" />
</xml><![endif]--><!--[if gte mso 9]><xml>
<o:shapelayout v:ext="edit">
<o:idmap v:ext="edit" data="1" />
</o:shapelayout></xml><![endif]--></head><body lang=DE link="#0563C1" vlink="#954F72"><div class=WordSection1><p><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>Dear all</span><br><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>I‘m trying to do a rolling forecast for a time series of stock returns aiming to achieve One-step-ahead VaR99 forecasts with the rugarch package.</span><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>However, I'm facing problems while using the ugarchroll function.</span><br><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>When running this code:</span><br><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>library(rugarch)</span><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>specEGARCHNoMeanSstd <- ugarchspec(variance.model = list(model="eGARCH", garchOrder = c(1,1)),</span><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'> mean.model = list(armaOrder=c(0,0)), distribution.model = "sstd")</span><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>EGarchNoMSstd <- ugarchroll(specEGARCHNoMeanSstd, data=returnsXTS, n.start = 500, refit.every = 100,</span><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'> refit.window = "moving", window.size = 500, solver="hybrid", calculate.VaR = T, VaR.alpha = c(0.01))</span><br><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>I receive the following Error as value in the resulting data object:</span><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>Error in try(.C("c_qsstd", p = as.double(p), mu = as.double(mu), sigma = as.double(sigma), : \n NA/NaN/Inf in foreign function call (arg 3)\n.</span><br><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>I figured out that the function produces "Inf"s on the conditional sigma. However I'm not able to find a reason for that.</span><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>Please note that the same model with n.start = 1000 and window.size = 1000 produces data without errors.</span><br><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>I would appreciate every hint in the right direction.</span><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>I attached a data set and script for reproduction.</span><br><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>Best regards,</span><br><span style='font-size:10.0pt;font-family:"Arial",sans-serif'>Bernhard Lange<o:p></o:p></span></p><p>PS: I’m new to R mailing lists. So please let me know, if I need to provide more information for future postings.<o:p></o:p></p></div></body></html>