Hi,
I am very interested in GARCH modelling filed and I was trying to fit the
mcsGARCH model to my data. I was following the code in this website:
http://www.unstarched.net/2013/03/20/high-frequency-garch-the-multiplicative-component-garch-mcsgarch-model/
Everything works OK until I try to fit the mscGARCH model using following
code:
fit = ugarchfit(data = data_ts, spec = spec, DailyVar = f_sigma^2)
It comes with an error:
Error in !matchD : invalid argument type
I am not pretty sure what this message means.
I greatly appreciated your help!
Sincerely,
Anne
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