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Dear All,
Please, I have run the codes below and have errors as below: Please what do we
do to avoid/rectify this error. The problem as it appears might be coming from
the external regressors.
spec3=ugarchspec(variance.model = list(model = "fGARCH", garchOrder = c(1,
1), submodel ="TGARCH", external.regressors = xxx, variance.targeting = FALSE),
mean.model = list(armaOrder = c(5, 0), include.mean = TRUE,
archm = FALSE, archpow = 1, arfima = FALSE, external.regressors = NULL),
distribution.model = "sstd", start.pars = list(), fixed.pars = list())
model2<- ugarchfit(data =matrix(res.ar1), spec = spec3, out.sample = 0,
solver = "gosolnp", solver.control = list(),
fit.control = list(stationarity = 1, fixed.se = 0, scale = 0))
Error;
Error in .fgarchfit(spec = spec, data = data, out.sample = out.sample, :
subscript out of bounds
Kind regards
papa
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