I can't replicate your error. All series converge without problem on: > sessionInfo() R version 3.1.0 (2014-04-10) Platform: x86_64-w64-mingw32/x64 (64-bit)
locale: [1] LC_COLLATE=English_United Kingdom.1252 [2] LC_CTYPE=English_United Kingdom.1252 [3] LC_MONETARY=English_United Kingdom.1252 [4] LC_NUMERIC=C [5] LC_TIME=English_United Kingdom.1252 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] zoo_1.7-11 rugarch_1.3-4 loaded via a namespace (and not attached): [1] DistributionUtils_0.5-1 expm_0.99-1.1 [3] GeneralizedHyperbolic_0.8-1 grid_3.1.0 [5] KernSmooth_2.23-12 ks_1.9.2 [7] lattice_0.20-29 Matrix_1.1-4 [9] misc3d_0.8-4 mvtnorm_1.0-0 [11] nloptr_1.0.0 numDeriv_2012.9-1 [13] parallel_3.1.0 Rcpp_0.11.2 [15] rgl_0.93.1098 Rsolnp_1.15 [17] SkewHyperbolic_0.3-3 spd_2.0-0 [19] truncnorm_1.0-7 xts_0.9-7 Provide your sessionInfo() so I might investigate further. -Alexios On 16/07/2014 09:00, Ole Bueker wrote: > I have also encountered the error "Error in diag(fit$robust.cvar) : nonvalid > 'nrow' value (too large or NA)" in my data analysis. > > Here is the link to several time series, which all experience either the > above error or the "failed to invest hessian" error, which seems to have a > similar error source (non-convergence). > > https://www.dropbox.com/s/ns6okxeib42syxo/NOT_WORKING.csv > > > The reproducible code for this data is: > > spreads <- read.zoo("NOT_WORKING.csv", header=TRUE, sep=",", > format="%d-%m-%y") > spreads <- na.locf(spreads) > returns1 <- diff(log(spreads), 1) > remove(spreads) > returns_crisis <- window(returns1, start="2007-07-23", end="2009-01-30") > returns_post <- window(returns1, start="2009-02-01", end="2014-05-12") > > model<-ugarchspec(variance.model=list(model="sGARCH",garchOrder=c(1,1)), > mean.model=list(armaOrder=c(1,0),include.mean=FALSE),distribution.model="ged") > > model_crisis <- lapply(returns_crisis, ugarchfit, spec=model, > solver="hybrid") > model_post <- lapply(returns_post, ugarchfit, spec=model, solver="hybrid") > > > I've tried playing around with adding constrains but was unable to find a > solution (even using the hybrid solver). > > > My original data contains about 100 additional time series (all covering the > same period, however with more/less NA's depending on the company). > However, these all converge without failure so I have not shared them (I can > upload them if necessary). > > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/understanding-an-error-from-ugarchfit-tp4684836p4694076.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. > > _______________________________________________ [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.
