Thanks a lot for your help again, I did it and I got the message: "Object contains non-converged estimation windows. Use resume method to re-estimate. Warning: In .resumeroll1(object, ...) : non-converged estimation windows present...resubsmit object with different solver parameters... "
If I do show(roll) I still get Object contains non-converged estimation windows. Use resume method to re-estimate. What should I do? I guess do it again with different solver parameters but which one? ----- Ursprüngliche Message ----- Von: alexios ghalanos <[email protected]> An: Ivanov Ruporvrich <[email protected]> CC: alexios ghalanos <[email protected]>; "[email protected]" <[email protected]> Gesendet: 18:27 Montag, 10.Juni 2013 Betreff: Re: [R-SIG-Finance] Computational Time using rugarch package Assume the object you tried to estimate is called 'roll'. Then do the following: roll = resume(roll, solver="gosolnp") The 'resume' method takes a uGARCHroll object which contains non-converged 'windows' and re-estimates them subject to additional options (e.g. different solver, control options, starting parameters in a revised uGARCHspec etc). You might also like to read the post on rolling GARCH forecasts which explains how to 'roll your own' rolling forecast: http://www.unstarched.net/2012/12/26/rolling-garch-forecasts/ -Alexios On 06/10/2013 07:18 PM, Ivanov Ruporvrich wrote: > > Thanks a lot for your answer, > I tried your code and run it for 7 hours, but it did not completely suceed: > > First of all, I got different warning messages which say: > > > 27: In .makefitmodel(garchmodel = "fGARCH", f = .fgarchLLH, ... : > rugarch-->warning: failed to invert hessian > > > Two warning messages say: > 28: In nlminb(start = pars, objective = fun, gradient = gr, ... : > unrecognized control elements named ‘tol’ ignored > > One further message says: > 30: In .rollfdensity(spec = spec, data = data, n.ahead = n.ahead, ... : > non-converged estimation windows present...resubsmit object with different > solver parameters... > > > If I want to look at the output via the show() command, I get the message: > Object contains non-converged estimation windows. Use resume method to > re-estimate. > > > So my question now is: How can I reestimate just the windows which did not > converge? So how do I have to apply the resume method in this case? > > From your excellent short "a-short-introduction-to-the-rugarch-package" of >the unstarched homepage it says: > > > "A key feature of this method is the existence of a rescue method called > resume which allows the resumption of the estimation when there are > non-converged windows, by submitting the resulting object into resume > with the option of using a different solver, control parameters etc. > This process can be continued until all windows converge, thus not > wasting time and resources by having to resubmit the whole problem from > scratch." > > But I don't know how to code this in my case? So what options do I have to > take and what code should I run? > > > Thanks a lot again for your help, > Ivanov > > > > > ________________________________ > Von: alexios ghalanos <[email protected]> > An: Ivanov Ruporvrich <[email protected]> > CC: "[email protected]" <[email protected]>; > [email protected] > Gesendet: 9:12 Montag, 10.Juni 2013 > Betreff: Re: [R-SIG-Finance] Computational Time using rugarch package > > > > 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 >> >> _______________________________________________ [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. _______________________________________________ [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.
