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<p>Bernhard,</p>
<p>Sorry, but I can't replicate the error. I attach the result of my
run.<br>
</p>
Here is my sessionInfo()<br>
<br>
R version 3.4.3 (2017-11-30)<br>
Platform: x86_64-apple-darwin15.6.0 (64-bit)<br>
Running under: macOS High Sierra 10.13.4<br>
<br>
Matrix products: default<br>
BLAS:
/System/Library/Frameworks/Accelerate.framework/Versions/A/Frameworks/vecLib.framework/Versions/A/libBLAS.dylib<br>
LAPACK:
/Library/Frameworks/R.framework/Versions/3.4/Resources/lib/libRlapack.dylib<br>
<br>
locale:<br>
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8<br>
<br>
attached base packages:<br>
[1] parallel stats graphics grDevices utils datasets
methods base <br>
<br>
other attached packages:<br>
[1] rugarch_1.4-0<br>
<br>
loaded via a namespace (and not attached):<br>
[1] Rcpp_0.12.16 magrittr_1.5
knitr_1.16 misc3d_0.8-4 <br>
[5] xtable_1.8-2 lattice_0.20-35
R6_2.2.2 FNN_1.1 <br>
[9] Rsolnp_1.16 GeneralizedHyperbolic_0.8-1
SkewHyperbolic_0.3-2 tools_3.4.3 <br>
[13] xts_0.10-2 spd_2.0-1
grid_3.4.3 KernSmooth_2.23-15 <br>
[17] htmltools_0.3.6 yaml_2.1.18
digest_0.6.15 rgl_0.98.1 <br>
[21] numDeriv_2016.8-1 Matrix_1.2-12
shiny_1.0.5 nloptr_1.0.4 <br>
[25] DistributionUtils_0.5-1 ks_1.10.7
htmlwidgets_1.0 codetools_0.2-15 <br>
[29] mime_0.5 compiler_3.4.3
multicool_0.1-10 expm_0.999-2 <br>
[33] jsonlite_1.5 truncnorm_1.0-7
mvtnorm_1.0-6 httpuv_1.3.6.2 <br>
[37] zoo_1.8-1<br>
<br>
Regards,<br>
<br>
Alexios<br>
<br>
<div class="moz-cite-prefix">On 4/17/18 2:16 PM, Bernhard Lange
wrote:<br>
</div>
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<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>
<br>
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