You say that you are aware that more observations would be better to get
more consistent estimates, yet you
use a moving window of size 262 on a highly non-linear variant of GARCH
(NAGARCH) with a non-normal distribution,
and you wonder WHY you have difficulty in estimating the model?
This issue of dataset size has been extensively covered in this forum in
the past (and very recently in fact), and in the
FAQ of the vignette where suggestions are also made about the use of the
scaling option, setting
solver parameters or using alternative solvers.
-Alexios
Try:
rollmodel = ugarchroll(garchspecification, mydata, n.start=262,
refit.every = 1, refit.window = 'moving',
window.size = 262,
calculate.VaR = TRUE, keep.coef = TRUE,
solver.control=list(tol=1e-6, trace=1), fit.control=list(scale=1))
On 06/10/2013 08:44 AM, Ivanov Ruporvrich wrote:
>
> Hi,
> I am using the rugarch package in R and I have a certain model, which I want
> to reestimate on a daily basis using ugarchroll.
>
> I am aware of the fact, that my problem is caused by the reason, that I do
> the reestimation daily, but since I really need the daily reestimation I
> cannot change this parameter (change to an higher number). My problem is,
> that reestimation on a daily basis takes a lot of time. I ran my pc for 7
> hours but I did not get a result, when I pressed ESC I got 4 or 5 warning
> messages that the hessian could not be inverted.
>
> So my main question is: Is there any chance to get this estimation running?
> Maybe change the solver or something like that?
>
> I do not have a problem with running R for like 6 hours or so, at least if I
> get a result afterwards.
>
> My R code is: (I use 262 observations for each window, I am aware of the
> fact, that
> more observations would be better in order to get more consistent
> estimates.)
>
> library(rugarch)
>
> garchspecification<-ugarchspec(variance.model =
> list(model="fGARCH",submodel="NAGARCH", garchOrder = c(1, 1)),
> mean.model = list(armaOrder = c(1, 0), include.mean = FALSE),
> distribution.model = "ged")
>
> rollmodel = ugarchroll(garchspecification, mydata, n.start=262,
> refit.every = 1, refit.window = 'moving', window.size = 262,
> calculate.VaR = TRUE, keep.coef = TRUE)
>
>
>
> I attached the data.
>
>
> Thanks a lot for your help,
> Ivanov
>
>
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