Hi all, While trying to bootstrap a TGARCH model of orders (1,1), using the rugarch package, I get the following error:
.fgarchsim2(fit = fit, n.sim = n.sim, n.start = n.start, m.sim = m.sim, : ugarchsim-->error: presigma must be of length 2 I only get the error when my ARMA model for the mean is of order 2 or higher (in p, q or both). Curious whether this is a bug that anyone has documented before. If not, I would be happy to provide my code and data sample. It could also be a mis-specification in my model and/or an error in the code of course. Best, Stoyan -- View this message in context: http://r.789695.n4.nabble.com/RUGARCH-bootstrap-fitting-error-presigma-length-tp4634470.html Sent from the Rmetrics mailing list archive at Nabble.com. _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
